Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements

International Review of Economics and Finance

Volumn 30, Issue , 2014, Pages 101-119

  Mensi, Walid ^a   Hammoudeh, Shawkat ^b   Yoon, Seong Min ^c  

^a UNIVERSITY OF TUNIS EL MANAR   (Tunisia)

^b DREXEL UNIVERSITY   (United States)

^c Pusan National University   (South Korea)

Author keywords

ARFIMA FIGARCH model; Dual long memory; News announcements; Out of sample forecasts; Structural breaks

Indexed keywords

EID: 84891482227     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2013.10.004     Document Type: Article

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