Deutsche mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies
This paper provides a detailed characterization of the volatility in the deutsche mark–dollar
foreign exchange market using an annual sample of five‐minute returns. The approach …
foreign exchange market using an annual sample of five‐minute returns. The approach …
Heterogeneous information arrivals and return volatility dynamics: Uncovering the long‐run in high frequency returns
Recent empirical evidence suggests that the interdaily volatility clustering for most
speculative returns are best characterized by a slowly mean‐reverting fractionally integrated …
speculative returns are best characterized by a slowly mean‐reverting fractionally integrated …
Public information arrival, exchange rate volatility, and quote frequency
M Melvin, X Yin - The Economic Journal, 2000 - Wiley Online Library
The mixture of distributions model motivates the role of public information arrival in foreign
exchange market dynamics. Public information arrival is measured using Reuters Money …
exchange market dynamics. Public information arrival is measured using Reuters Money …
Long and short memory conditional heteroskedasticity in estimating the memory parameter of levels
PM Robinson, M Henry - Econometric theory, 1999 - cambridge.org
Semiparametric estimates of long memory seem useful in the analysis of long financial time
series because they are consistent under much broader conditions than parametric …
series because they are consistent under much broader conditions than parametric …
Microeconomic models for long memory in the volatility of financial time series
We show that a class of microeconomic behavioral models with interacting agents, derived
from Kirman (1991) and Kirman (1993), can replicate the empirical long-memory properties …
from Kirman (1991) and Kirman (1993), can replicate the empirical long-memory properties …
Structural change and long-range dependence in volatility of exchange rates: either, neither or both?
C Morana, A Beltratti - Journal of Empirical Finance, 2004 - Elsevier
In this paper, we test for the existence of long memory and structural breaks in the realized
variance process for the DM/US andYen/US exchange rates. While long memory is evident …
variance process for the DM/US andYen/US exchange rates. While long memory is evident …
On the log periodogram regression estimator of the memory parameter in long memory stochastic volatility models
RS Deo, CM Hurvich - Econometric Theory, 2001 - cambridge.org
We consider semiparametric estimation of the memory parameter in a long memory
stochastic volatility model. We study the estimator based on a log periodogram regression …
stochastic volatility model. We study the estimator based on a log periodogram regression …
The Long-Range Dependence Paradigm
The long-range dependence paradigm appears to be a suitable description of the data
generating process for many observed economic time series. This is mainly due to the fact …
generating process for many observed economic time series. This is mainly due to the fact …
Stochastic volatility and option pricing with long-memory in discrete and continuous time
It is commonly accepted that certain financial data exhibit long-range dependence. We
consider a continuous-time stochastic volatility model in which the stock price is Geometric …
consider a continuous-time stochastic volatility model in which the stock price is Geometric …
Robust automatic bandwidth for long memory
M Henry - Journal of Time Series Analysis, 2001 - Wiley Online Library
The choice of bandwidth, or number of harmonic frequencies, is crucial to semiparametric
estimation of long memory in a covariance stationary time series as it determines the rate of …
estimation of long memory in a covariance stationary time series as it determines the rate of …