Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility

David McMillan and Alan Speight ()

Asia-Pacific Financial Markets, 2005, vol. 12, issue 3, 199-226

Keywords: GARCH; Intraday periodicity; Long-run volatility; Temporal aggregation; C22; G13 (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10690-006-9023-8

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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