LONG MEMORY AND ASYMMETRIC EFFECT IN EAST ASIAN FOREIGN EXCHANGE MARKETS
LONG MEMORY AND ASYMMETRIC EFFECT IN EAST ASIAN FOREIGN EXCHANGE MARKETS
Author(s): Riadh El Abed, Samir MaktoufSubject(s): Economy
Published by: Universitatea SPIRU HARET - Faculty of Accounting and Financial Management
Keywords: FIAPARCH; Asymmetries; Long memory; East Asian exchange rates
Summary/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.
Journal: Journal of Academic Research in Economics (JARE)
- Issue Year: 8/2016
- Issue No: 2
- Page Range: 294-306
- Page Count: 13
- Language: English
- Content File-PDF
