True or spurious long memory in European non-EMU currencies
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DOI: 10.1016/j.ribaf.2017.01.003
Abstract: We examine the Croatian Kuna, the Czech Koruna, the Hungarian Forint, the Polish Zloty, the Romanian Leu, and the Swedish Krona whether their Euro exchange rates volatility exhibits true or spurious long memory. Recent research… read more here.
Keywords: structural breaks; true spurious; long memory; exchange ... See more keywords