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dc.contributor.authorLi, Yeen_US
dc.contributor.authorPerron, Pierreen_US
dc.contributor.authorXu, Jiawenen_US
dc.date.accessioned2018-01-23T19:31:34Z
dc.date.available2018-01-23T19:31:34Z
dc.date.issued2017-01-01
dc.identifierhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000396817900006&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e74115fe3da270499c3d65c9b17d654
dc.identifier.citationYe Li, Pierre Perron, Jiawen Xu. 2017. "Modelling exchange rate volatility with random level shifts." APPLIED ECONOMICS, Volume 49, Issue 26, pp. 2579 - 2589 (11).
dc.identifier.issn0003-6846
dc.identifier.issn1466-4283
dc.identifier.urihttps://hdl.handle.net/2144/26279
dc.description.abstractRecent literature has shown that the volatility of exchange rate returns displays long memory features. It has also been shown that if a short memory process is contaminated by level shifts, the estimate of the long memory parameter tends to be upward biased. In this article, we directly estimate a random level shift model to the logarithm of the absolute returns of five exchange rates series, in order to assess whether random level shifts (RLSs) can explain this long memory property. Our results show that there are few level shifts for the five series, but once they are taken into account the long memory property of the series disappears. We also provide out-of-sample forecasting comparisons, which show that, in most cases, the RLS model outperforms popular models in forecasting volatility. We further support our results using a variety of robustness checks.en_US
dc.format.extent2579 - 2589 (11)en_US
dc.languageEnglish
dc.publisherROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTDen_US
dc.relation.ispartofAPPLIED ECONOMICS
dc.subjectSocial sciencesen_US
dc.subjectEconomicsen_US
dc.subjectBusiness & economicsen_US
dc.subjectRandom level shiftsen_US
dc.subjectLong-memoryen_US
dc.subjectForecastingen_US
dc.subjectVolatilityen_US
dc.subjectReturn indexesen_US
dc.subjectApplied economicsen_US
dc.subjectEconomicsen_US
dc.titleModelling exchange rate volatility with random level shiftsen_US
dc.typeArticleen_US
dc.identifier.doi10.1080/00036846.2016.1243214
pubs.elements-sourceweb-of-scienceen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Economicsen_US
pubs.publication-statusPublisheden_US


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