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Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility

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  • David McMillan
  • Alan Speight

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  • David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 199-226, September.
    • Handle: RePEc:kap:apfinm:v:12:y:2005:i:3:p:199-226
    DOI: 10.1007/s10690-006-9023-8
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    More about this item

    Keywords

    GARCH; Intraday periodicity; Long-run volatility; Temporal aggregation; C22; G13;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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