{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,24]],"date-time":"2025-10-24T07:49:45Z","timestamp":1761292185889},"reference-count":9,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2004,9,28]],"date-time":"2004-09-28T00:00:00Z","timestamp":1096329600000},"content-version":"vor","delay-in-days":27,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2004,9]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>A recent article (Tse, <jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib8\">1998<\/jats:ext-link>) published in this journal analysed the conditional heteroscedasticity of the yen\u2013dollar exchange rate based on the fractionally integrated asymmetric power ARCH model. In this paper, we present replication results using Tse's (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib8\">1998<\/jats:ext-link>) yen\u2013dollar series. We also examine the robustness of Tse's (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib8\">1998<\/jats:ext-link>) findings across different currencies, sample periods and non\u2010nested GARCH\u2010type models. Unlike Tse (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib8\">1998<\/jats:ext-link>), we find some evidence of asymmetric conditional volatility for daily returns of currencies measured against the dollar or the yen. Copyright \u00a9 2004 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.802","type":"journal-article","created":{"date-parts":[[2004,9,28]],"date-time":"2004-09-28T12:00:22Z","timestamp":1096372822000},"page":"637-642","source":"Crossref","is-referenced-by-count":11,"title":["Conditional heteroscedasticity of exchange rates: further results based on the fractionally integrated approach"],"prefix":"10.1002","volume":"19","author":[{"given":"Albert K.","family":"Tsui","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Kin\u2010Yip","family":"Ho","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2004,9,28]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(95)01749-6"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939208800229"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500103288619359"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(93)90006-D"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.1.103"},{"key":"e_1_2_6_8_1","unstructured":"HoKY TsuiAK.2003.Conditional heteroscedasticity of exchange rates: further results based on the fractionally integrated approach. Mimeo."},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199801\/02)13:1<49::AID-JAE459>3.0.CO;2-O"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-538X(97)00002-4"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.802","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.802","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,18]],"date-time":"2023-10-18T03:31:16Z","timestamp":1697599876000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.802"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2004,9]]},"references-count":9,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2004,9]]}},"alternative-id":["10.1002\/jae.802"],"URL":"https:\/\/doi.org\/10.1002\/jae.802","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2004,9]]}}}