- Tytuł:
- Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks
- Autorzy:
-
Maatoug, Abderrazak Ben
Lamouchi, Rim
Davidson, Russell
Fatnassi, Ibrahim - Powiązania:
- https://bibliotekanauki.pl/articles/2076275.pdf
- Data publikacji:
- 2018
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
foreign exchange markets
realized volatility
high-frequency data,long memory
structural change - Opis:
- In this study, we model realized volatility constructed from intra-day highfrequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show evidence for the presence of long memory in the exchange rates’ realized volatility. From the Bai–Perron test, we found structural breakpoints that match significant events in financial markets. Furthermore, the findings provide strong evidence in favour of the presence of long memory.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2018, 1; 1-25
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł