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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
. -- High frequency data ; long memory ; volatility persistence ; structural breaks …
Persistent link: https://www.econbiz.de/10009735715
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
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/10013082343
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Long memory and fractional integration in high frequency data on the US Dollar
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
. -- high frequency data ; long memory ; volatility persistence ; structural breaks …
Persistent link: https://www.econbiz.de/10009736739
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
data ; long memory ; volatility persistence ; structural breaks …
Persistent link: https://www.econbiz.de/10003974563
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Long Memory and Fractional Integration in High Frequency Financial Time Series
Caporale, Guglielmo Maria - 2010
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/10013141114
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Excess Comovements between the Euro/US Dollar and British Pound/US Dollar Exchange Rates
Kuehl, Michael - 2009
The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange rates, i.e. we look for comovements of exchange rates which are stronger than implied by fundamentals. The results of the empirical analysis give evidence that excess comovements...
Persistent link: https://www.econbiz.de/10013154177
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Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates
Kühl, Michael - 2009
The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange rates, i.e. we look for comovements of exchange rates which are stronger than implied by fundamentals. The results of the empirical analysis give evidence that excess comovements...
Persistent link: https://www.econbiz.de/10003905664
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Analysis of the Intraday Effects of Economic Releases on the, Currency Market
Rezania, Omid; Račev, Svetlozar T.; Sun, Edward; … - 2010
scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we … empirically show that intraday volatility clusters increase as we approach the time of the releases, and decay exponentially after …. Finally, we propose a wavelet volatility estimator which is not only more efficient than a range estimator that is commonly …
Persistent link: https://www.econbiz.de/10008654275
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003979849
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Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model
Klaassen, Franc - 1999
We analyze the time-dependence of exchange rate correlations using a new multivariate GARCH model. This model consists of two parts. First, we transform the exchange rate changes into their principal components and specify univariate GARCH models for all components. Second, we use the inverse of...
Persistent link: https://www.econbiz.de/10014192029