Showing 1 - 10 of 110
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...
Persistent link: https://www.econbiz.de/10003931070
This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...
Persistent link: https://www.econbiz.de/10003974563
Persistent link: https://www.econbiz.de/10003979849
Persistent link: https://www.econbiz.de/10003963286
Persistent link: https://www.econbiz.de/10009573955
Persistent link: https://www.econbiz.de/10011313843
Persistent link: https://www.econbiz.de/10010527158
Persistent link: https://www.econbiz.de/10009731952
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10009735715
Persistent link: https://www.econbiz.de/10010244148