LONG MEMORY AND ASYMMETRIC EFFECT IN EAST ASIAN FOREIGN EXCHANGE MARKETS

Riadh El Abed and Samir Maktouf

Journal of Academic Research in Economics, 2016, vol. 8, issue 2 (July), 294-306

Abstract: The Analysis of asymmetry and long memory of exchange rate in the context of international investments has been well researched in the literature in last few years. In this paper, we study the asymmetric effect and the long rang dependence of some East Asian exchange rate expressed in US dollar. We adopt the univariate FIAPARCH model, during the period spanning from January 01, 1999 until September 30, 2015. The empirical results suggest asymmetric response in foreign exchange market returns and a high persistence.

Keywords: FIAPARCH; Asymmetries; Long memory; East Asian exchange rates. (search for similar items in EconPapers)
JEL-codes: C13 C22 C32 C52 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:shc:jaresh:v:8:y:2016:i:2:p:294-306

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