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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, LA | - |
dc.date.accessioned | 2013-05-07T11:15:05Z | - |
dc.date.available | 2013-05-07T11:15:05Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Economics and Finance Working Paper, Brunel University: 13-09, Apr 2013 | en_US |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/7427 | - |
dc.description.abstract | 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 variety of specifications for the error term. In brief, we find evidence that a lower degree of integration is associated with lower data frequencies. In particular, when the data are collected every 10 minutes there are several cases with values of d strictly smaller than 1, implying mean-reverting behaviour; however, for higher data frequencies the unit root null cannot be rejected. This holds for all four series examined, namely Open, High, Low and Last observations for the US dollar / British pound spot exchange rate and for different sample periods. | en_US |
dc.description.sponsorship | This study is financially supported from the Ministry of Education of Spain (ECO2011-2014 – 28196 - ECON Y FINANZAS, Spain) and from a Jeronimo de Ayanz project of the Government of Navarra. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Brunel University | en_US |
dc.subject | High frequency data | en_US |
dc.subject | Long memory | en_US |
dc.subject | Volatility persistence | en_US |
dc.subject | Structural breaks | en_US |
dc.title | Long memory and fractional integration in high frequency data on the US Dollar / British Pound spot exchange rate | en_US |
dc.type | Article | en_US |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Active Staff | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences/Economics and Finance | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups/Centre for Empirical Finance | - |
Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
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