Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates

Journal of International Financial Markets, Institutions and Money

Volumn 14, Issue 5, 2004, Pages 401-418

  Baillie, Richard T ^a   Cecen, Aydin A ^b   Erkal, Cahit ^c   Han, Young Wook ^d  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b CENTRAL MICHIGAN UNIVERSITY   (United States)

^c UNIVERSITY OF TENNESSEE   (United States)

^d CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Correlation integral; Long memory; Non linear dependence

Indexed keywords

EID: 3342913766     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2003.12.002     Document Type: Article

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