Breymann, W.; Dias, A.; Embrechts, P. - In: Quantitative Finance 3 (2003) 1, pp. 1-14
Stylized facts for univariate high-frequency data in finance are well known. They include scaling behaviour, volatility clustering, heavy tails and seasonalities. The multivariate problem, however, has scarcely been addressed up to now. In this paper, bivariate series of high-frequency FX spot...