Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries
Foreign currency exchange rate policies of ASEAN member countries have undergone tremendous changes following the 1997 Asian financial crisis. In this paper, we study the fractal and long-memory characteristics in the volatility of five ASEAN founding members' exchange rates with respect to US...
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| Format: | Article |
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ELSEVIER SCIENCE BV
2007
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| Online Access: | http://shdl.mmu.edu.my/3263/ |