Structural change and long-range dependence in volatility of exchange rates: Either, neither or both?

Journal of Empirical Finance

Volumn 11, Issue 5, 2004, Pages 629-658

  Morana, Claudio ^a   Beltratti, Andrea ^b  

^a UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^b BOCCONI UNIVERSITY   (Italy)

Author keywords

Forecasting; Long memory; Structural change

Indexed keywords

EID: 14844284693     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2003.03.002     Document Type: Article

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