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    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62094


    Title: Long Memory in Currency Futures Volatility
    Authors: Ching-Fan Chung;Mao-Wei Hung;Yu-Hong Liu
    教師: 鐘經樊
    Date: 2003
    Publisher: Emerald Group Publishing Limited
    Relation: Research in Finance, Emerald Group Publishing Limited,20, 139-158,2003
    Keywords: Volatility
    currency futures
    representation
    Abstract: This study employs a new time series representation of persistence in conditional mean and variance to test for the existence of the long memory property in the currency futures market. Empirical results indicate that there exists a fractional exponent in the differencing process for foreign currency futures prices. The series of returns for these currencies displays long-term positive dependence. A hedging strategy for long memory in volatility is also discussed in this article to help the investors hedge for the exchange rate risk by using currency futures.
    URI: http://www.emeraldinsight.com/
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62094
    Appears in Collections:[計量財務金融學系] 期刊論文

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