Albert K. Tsui and Kin-Yip Ho, "Conditional Heteroscedasticity of Exchange
Rates: Further Results based on the Fractionally Integrated Approach",
Journal of Applied Econometrics, Vol. 19, No. 5, 2004, pp. 637-642.

Three data sets were used in this paper. They are:


Data Set  Exchange rates                   Sample period

I         JPY/USD (Tse's (1998) data set)  I: 3 January 1978 - 29 June 1994

II        JPY/USD;
          CND/USD, GBP/USD, MYR/USD,       II: 2 January 1986 - 30 June 1997
          SGD/USD;
          CND/JPY, GBP/JPY, MYR/JPY,
          SGD/JPY

III       JPY/USD;
          CND/USD, GBP/USD, SGD/USD;       III: 2 January 1986 - 21 Feb. 2003
          CND/JPY, GBP/JPY, SGD/JPY


CND = Canadian Dollar; GBP = British Pound; MYR = Malaysian Ringgit;
JPY = Japanese Yen; SGD = Singapore Dollar; USD = US Dollar

Data Set I can be obtained from the Journal of Applied Econometrics website
at http://www.econ.queensu.ca/jae/1998-v13.1/tse/

Data Sets II and III contain data from DataStream International. There are
five ASCII text files, one for each currency against the US dollar. They
include the data for both II and III. These files, which are in DOS format,
are zipped in the file tsui-ho-data.zip.

Bilateral exchange rates against the Japanese Yen are calculated by dividing
the exchange rate of a nation's currency against the USD with the Japanese
Yen/US Dollar exchange rate. Data Set III excludes the Malaysian Ringgit as
it was fixed to the US Dollar in September 1998 by the government.

If you have questions, please send e-mails to the authors.


Kin-Yip Ho
Department of Economics
Cornell University
Ithaca, NY 14850 USA

kh267 <AT> cornell.edu


Albert K. Tsui
Department of Economics
National University of Singapore
AS2 Level 6 1 Arts Link
Singapore 117570

ecsatsui <AT> nus.edu.sg