Tracing the Source of Long Memory in Volatility

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Tracing the Source of Long Memory in Volatility

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Rohit Deo (New York University)
Mengchen Hsieh (New York University)
Clifford Hurvich (New York University)

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Abstract

We study the effects of trade duration properties on dependence in counts (number of transactions) and thus on dependence in volatility of returns. A return model is established to link counts and volatility. We present theorems as well as a conjecture relating properties of durations to long memory in counts and thus in volatility. We then apply several parametric duration models to empirical trade durations and discuss our findings in the light of the theorems and conjecture.

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Paper provided by EconWPA in its series Econometrics with number 0501005.

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Length: 38 pages
Date of creation: 13 Jan 2005
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Handle: RePEc:wpa:wuwpem:0501005

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-01-16 (All new papers)
NEP-ECM-2005-01-16 (Econometrics)
NEP-ETS-2005-01-16 (Econometric Time Series)
NEP-FIN-2005-01-16 (Finance)
NEP-FMK-2005-01-16 (Financial Markets)

References listed on IDEAS
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.:

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Other versions:
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Other versions:
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Other versions:
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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.)

Rohit Deo & Clifford Hurvich & Philippe Soulier & Yi Wang, 2005. "Propagation of Memory Parameter from Durations to Counts," Econometrics 0511010, EconWPA. [Downloadable!]

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