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Uncovering Long Memory in High Frequency UK Futures

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  • John Cotter

Abstract

Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed absolute and squared returns for high frequency intraday UK futures. Volatility series for three different asset types, using stock index, interest rate and bond futures are analysed. Long memory is strongest for the bond contract. Long memory is always strongest for the absolute returns series and at a power transformation of k

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Paper provided by arXiv.org in its series Papers with number 1103.5651.

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Date of creation: Mar 2011
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Handle: RePEc:arx:papers:1103.5651

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Cited by:
  1. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," CESifo Working Paper Series, CESifo Group Munich 4224, CESifo Group Munich.
  2. John Cotter, 2011. "Modelling Long Memory in REITs," Working Papers, Geary Institute, University College Dublin 200614, Geary Institute, University College Dublin.
  3. Luis A. Gil-Alana & Yun Cao, 2010. "Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 12/11, School of Economics and Business Administration, University of Navarra.
  4. Gil-Alana, Luis A. & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2014. "On the persistence and volatility in European, American and Asian stocks bull and bear markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 40(C), pages 149-162.
  5. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 02/11, School of Economics and Business Administration, University of Navarra.
  6. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Discussion Papers of DIW Berlin 975, DIW Berlin, German Institute for Economic Research.
  7. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 33(3), pages 233-252, October.

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