We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional cointegration, allowing derivation of useful long-run relations even among stationary processes. The approach is due to Robinson (1994, Annals of Statistics 22, 515-539) and uses...

A practice that has become widespread and widely endorsed is that of evaluating forecasts of financial variability obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on continuous time theory. In explanatory financial...

We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of...