In the sequel, we first focus fully on the S&P 500, partly for expositional convenience,
and partly because the exchange rate data are the same as in Andersen,Bollerslev, Diebold and Labys (2001) and analysed thoroughly there.4 First, we discuss
the S&P 500 data in Section 2. The nonlinear long-memory model is developed
in Section 3. We discuss estimation and forecasting results for the S&P 500 in Sections
4 and 5, respectively. Section 6 then summarizes the most important findings for the exchange rates. Finally, Section 7 concludes
In the sequel, we first focus fully on the S&P 500, partly for expositional convenience,and partly because the exchange rate data are the same as in Andersen,Bollerslev, Diebold and Labys (2001) and analysed thoroughly there.4 First, we discussthe S&P 500 data in Section 2. The nonlinear long-memory model is developedin Section 3. We discuss estimation and forecasting results for the S&P 500 in Sections4 and 5, respectively. Section 6 then summarizes the most important findings for the exchange rates. Finally, Section 7 concludes
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