Conditional heteroscedasticity of exchange rates: further results based on the fractionally integrated approach

Albert Tsui and Kin-Yip Ho
Additional contact information
Kin-Yip Ho: Department of Economics, Cornell University, USA, Postal: Department of Economics, Cornell University, USA

Journal of Applied Econometrics, 2004, vol. 19, issue 5, 637-642

Abstract: A recent article (Tse, 1998) published in this journal analysed the conditional heteroscedasticity of the yen-dollar exchange rate based on the fractionally integrated asymmetric power ARCH model. In this paper, we present replication results using Tse's (1998) yen-dollar series. We also examine the robustness of Tse's (1998) findings across different currencies, sample periods and non-nested GARCH-type models. Unlike Tse (1998), we find some evidence of asymmetric conditional volatility for daily returns of currencies measured against the dollar or the yen. Copyright © 2004 John Wiley & Sons, Ltd.

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.802 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2004-v19.5/ Supporting data files and programs (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jae:japmet:v:19:y:2004:i:5:p:637-642

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

DOI: 10.1002/jae.802

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().