Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate
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- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2013. "Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 1-9.
- 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 4224, CESifo.
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- Guglielmo Maria Caporale & Alex Plastun, 2022. "Persistence in High Frequency Financial Data," CESifo Working Paper Series 10045, CESifo.
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More about this item
Keywords
High frequency data; long memory; volatility persistence; structural breaks;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
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2013-05-05 (Market Microstructure)
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