Long memory and fractional integration in high frequency data on the US dollar / British pound spot exchange rate
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Centre for International Capital Markets, London Metropolitan University
2013
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| Subjects: | |
| Online Access: | https://repository.londonmet.ac.uk/387/1/CentreForInternationalCapitalMarketsDiscussionPapers_2013-05_p01-30.pdf |