Tracing the Source of Long Memory in Volatility
AbstractWe 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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Length: 38 pages
Date of creation: 13 Jan 2005
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- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: 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)
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