Long-memory in high-frequency exchange rate volatility under temporal aggregation

DOI10.1080/14697680601150699MaRDI QIDQ3502187zbMATH OpenOpenAlexFDO

Authors David G. McMillan, Alan E. H. Speight

Publication date 22 May 2008

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680601150699

zbMATH Keywords

behavioural financeempirical asset pricingmarket efficiencymutual funds

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cited in

(11)

• Testing for long-term memory in yen/dollar exchange rate
• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation
• The distribution of realized exchange rate volatility
• Long-memory exchange rate dynamics in the Euro era
• MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
• Multiscale analysis of economic time series by scale-dependent Lyapunov exponent
• Asymmetric long memory GARCH in exchange return.
• Long memory, spurious memory: persistence in range-based volatility of exchange rates
• Exploring exchange rate returns at different time horizons
• Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility

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