This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

High-Frequency Data and Volatility in Foreign-Exchange Rates

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Zhou, Bin
Abstract

This article uses tick-by-tick foreign exchange rates to explore the feature of high frequency financial data. In this article, the author proposes a model that explains the negative autocorrelation of high frequency financial time series. The empirical results indicate that the heavy tail of financial time series is mostly caused by the heteroscedasticity of the time series. The estimates of intraday volatility reveal a strong seasonal patter across all currencies.

Download Info
To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Publisher Info
Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 14 (1996)
Issue (Month): 1 (January)
Pages: 45-52
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:bes:jnlbes:v:14:y:1996:i:1:p:45-52

Contact details of provider:
Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main

Order Information:
Web: http://www.amstat.org/publications/index.html

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ilze Kalnina & Oliver Linton, 2006. "Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError," STICERD - Econometrics Paper Series /2006/509, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  2. Ilze Kalnina & Oliver Linton, 2007. "Inference about Realized Volatility using Infill Subsampling," STICERD - Econometrics Paper Series /2007/523, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  3. Helena Veiga, 2006. "Volatility Forecasts: A Continuous Time Model Versus Discrete Time Models1," Statistics and Econometrics Working Papers ws062509, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  4. Jeremy Large, 2007. "Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment," Economics Series Working Papers 340, University of Oxford, Department of Economics. [Downloadable!]
  5. de Jong, Frank & Schotman, Peter C, 2003. "Price Discovery in Fragmented Markets," CEPR Discussion Papers 3987, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  6. Jeremy Large, 2005. "Estimating quadratic variation when quoted prices jump by a constant increment," OFRC Working Papers Series 2005fe05, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  7. Christopher J. Neely & Paul A. Weller, 2001. "Intraday technical trading in the foreign exchange market," Working Papers 1999-016, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  8. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    Other versions:
  9. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  10. Ole Barndorff-Nielsen & Neil Shephard, 2004. "Multipower Variation and Stochastic Volatility," Economics Papers 2004-W30, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  11. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Papers 2004-W28, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  12. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk - realised semivariance," OFRC Working Papers Series 2008fe01, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  13. Asger Lunde & Peter Reinhard Hansen, 2004. "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings 526, Econometric Society. [Downloadable!]
  14. Shin-Juh Lin & Jian Yang, 2000. "Examining Intraday Returns with Buy/Sell Information," Research Paper Series 38, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  15. Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," Economics Papers 2005-W06, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  16. Alain Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2007. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," International Finance Discussion Papers 905, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Statistics
Access and download statistics

Did you know? LogEc provides statistical analysis about downloads from this service (and others).

This page was last updated on 2009-11-22.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.