Formal testing procedures confirm the presence of a unit root in the autoregressive polynomial of the univariate time series representation of daily exchange-rate data. The first differences of the logarithms of daily spot rates are approximately uncorrelated through time, and a generalized...

This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard & Poor's 100 composite index. Using multivariate spectral methods, the authors find that fractionally integrated processes best describe the long-run temporal dependencies...

Formal testing procedures confirm the presence of a unit root in the autoregressive polynomial of the univariate time series representation of daily exhange-rate data. The first differences of the logarithms of daily spot rates are approximately uncorrelated through time, and a generalized...

Most high frequency asset returns exhibit seasonal volatility patterns. This paper proposes a new class of periodic ARCH, or P-ARCH, models explicitly designed to capture the repetitive variation in the second order moments. The importance of the informational loss associated with the implicit...