References
- Andersson , J . 2001 . On the normal inverse Gaussian stochastic volatility model . Journal of Business and Economic Statistics , 19 : 44 – 54 .
- Ardıç , OP and Selçuk , F . 2006 . The dynamics of a newly floating exchange rate: the Turkish case . Applied Economics , 38 : 931 – 41 .
- Baillie , RT . 1989 . The message in daily exchange rates: a conditional-variance tale . Journal of Business and Economic Statistics , 7 : 297 – 305 .
- Baillie , RT , Bollerslev , T and Mikkelsen , HO . 1996 . Fractionally integrated generalized autoregressive conditional heteroscedasticity . Journal of Econometrics , 74 : 3 – 30 .
- Baillie , RT , Çeçen , AA and Han , Y-W . 2000 . High frequency Deutsche mark–US dollar returns: FIGARCH representations and non linearities . Multinational Finance Journal , 4 : 247 – 67 .
- Baillie , RT and Morana , C . 2007 . Modeling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach Working Paper No. 593, Department of Economics, Queen Mary University of London
- Barndorff-Nielsen , OE . 1978 . Hyperbolic distributions and distributions on hyperbolae . Scandinavian Journal of Statistics , 5 : 151 – 7 .
- Barndorff-Nielsen , OE . 1997 . Normal inverse Gaussian distributions and stochastic volatility modelling . Scandinavian Journal of Statistics , 24 : 1 – 13 .
- Basçı , E . Özel, O. and Sankaya, Ç. (2007) The monetary transmission mechanism in Turkey: new developments, Working Paper No. 07/04, CBRT Research and Monetary Policy Department
- Beine , M and Laurent , S . 2000 . Structural change and long memory in volatility: new evidence from daily exchange rates , University of Liège, , Liège : Manuscript .
- Bollerslev , T . 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 27 .
- Bollerslev , T . 1987 . A conditional heteroscedastic time series model for speculative prices and rates of return . Review of Economics and Statistics , 69 : 542 – 7 .
- Bredit , F and Hsu , N . 2002 . A class of nearly long-memory time series models . International Journal of Forecasting , 18 : 265 – 81 .
- Brunetti , C and Gilbert , CL . 2000 . Bivariate FIGARCH and fractional cointegration . Journal of Empirical Finance , 7 : 509 – 30 .
- Calvo , G and Mishkin , SF . 2003 . The mirage of exchange rate regimes for emerging market countries NBER Working Paper No. 9808
- Calvo , GA and Reinhart , CM . 2002 . Fear of floating . The Quarterly Journal of Economics , 117 : 379 – 408 .
- Conrad , C and Haag , BR . 2006 . Inequality constraints in the fractionally integrated GARCH model . Journal of Financial Econometrics , 3 : 413 – 49 .
- Davidson , J . 2004 . Moment and memory properties of linear conditional heteroscedasticity models and a new model . Journal of Business and Economics Statistics , 22 : 16 – 29 .
- Diebold , FX , Gunther , T and Tay , AS . 1998 . Evaluating density forecasts, with applications to financial risk management . International Economic Review , 39 : 863 – 83 .
- Diebold , FX and Inoue , A . 2001 . Long memory and regime switching . Journal of Econometrics , 105 : 131 – 59 .
- Forsberg , L and Bollerslev , T . 2002 . Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the EURO): the GARCH-NIG model . Journal of Applied Econometrics , 17 : 535 – 48 .
- Granger , C and Hyung , N . 2004 . Occasional structural breaks and long memory with an application to the S&P500 absolute stock returns . Journal of Empirical Finance , 11 : 399 – 421 .
- Hamilton , JD . 1994 . Time Series Analysis , Princeton, NJ : Princeton University Press .
- Hsieh , DA . 1989 . Modeling heteroscedasticity in daily foreign exchange rates . Journal of Business and Economic Statistics , 7 : 307 – 17 .
- Jensen , MB and Lunde , A . 2001 . The NIG-S and ARCH model: a fat tailed, stochastic, and autoregressive conditional heteroscedastic volatility model . Econometrics Journal , 4 : 319 – 42 .
- Kiliç , R . 2004 . On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange . Applied Financial Economics , 14 : 915 – 22 .
- Kiliç , R . 2007 . Conditional volatility and distribution of exchange rates: GARCH and FIGARCH models with NIG distribution . Studies in Nonlinear Dynamics and Econometrics , 11 : 1 – 33 .
- Kiliç , R . 2008 . Long memory and nonlinearity in conditional variances: a smooth transition FIGARCH model Manuscript, School of Economics, Georgia Institute of Technology, pp. 65–70
- Kim , S , Shephard , N and Chib , S . 1998 . Stochastic volatility: likelihood inference and comparison with ARCH models . Review of Economic Studies , 65 : 361 – 93 .
- Kwiatkowski , D , Phillips , PCB , Schmidt , P and Shin , Y . 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? . Journal of Econometrics , 54 : 159 – 78 .
- Mikosch , T and Starica , C . 1998 . “ Change of structure in financial time series, long range dependence and the GARCH model, mimeo ” . The Netherlands : Department of Mathematics, University of Groningen .
- Morona , C and Beltratti , A . 2004 . Structural change and long-range dependence in volatility of exchange rates: either, neither or both? . Journal of Empirical Finance , 11 : 629 – 58 .
- Mussa , M . 2000 . Masson, P., Swoboda, A., Jadresic, E., Mauro, P. and Berg, A. , Exchange rate regimes in an increasingly integrated world economy, IMF Occasional Paper No. 193
- Nelson , D . 1991 . Conditional heteroscedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 70 .
- Obstfeld , M and Rogoff , K . 1995 . The mirage of fixed exchange rates . Journal of Economic Perspectives , 9 : 73 – 96 .
- Ohanissian , A , Russell , JR and Tsay , RS . 2008 . True or spurious long memory? A new test . Journal of Business and Economic Statistics , 26 : 161 – 75 .
- Reinhart , CM . 2000 . The mirage of floating exchange rates . American Economic Review Papers and Proceedings , 90 : 65 – 70 .
- Said , SE and Dickey , DA . 1984 . Testing for unit roots in autoregressive moving average models of unknown order . Biometrika , 71 : 599 – 607 .
- Tavlas , G . 2003 . The economics of exchange rate regimes: a review essay . The World Economy , 26 : 1215 – 46 .