@ARTICLE{Maatoug_Abderrazak_Ben_Modelling_2018,
 author={Maatoug, Abderrazak Ben and Lamouchi, Rim and Davidson, Russell and Fatnassi, Ibrahim},
 number={No 1},
 journal={Central European Journal of Economic Modelling and Econometrics},
 pages={1-25},
 howpublished={online},
 year={2018},
 publisher={Oddział PAN w Łodzi},
 abstract={In this study, we model realized volatility constructed from intra-day high-frequency data. We explore the possibility of confusing long memory andstructural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The resultsshow evidence for the presence of long memory in the exchange rates’ realizedvolatility. From the Bai–Perron test, we found structural breakpoints that matchsignificant events in financial markets. Furthermore, the findings provide strongevidence in favour of the presence of long memory.},
 type={Artykuły / Articles},
 title={Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks},
 URL={http://journals.pan.pl/Content/106507/PDF/mainFile.pdf},
 doi={10.24425/122188},
 keywords={foreign exchange markets, realized volatility, high-frequency data,long memory, structural change},
}