- Tytuł:
- Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks
- Autorzy:
-
Maatoug, Abderrazak Ben
Lamouchi, Rim
Davidson, Russell
Fatnassi, Ibrahim - Tematy:
-
foreign exchange markets
realized volatility
high-frequency data,long memory
structural change - Pokaż więcej
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Powiązania:
- https://bibliotekanauki.pl/articles/2076275.pdf Link otwiera się w nowym oknie
- Opis:
- In this study, we model realized volatility constructed from intra-day highfrequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show evidence for the presence of long memory in the exchange rates’ realized volatility. From the Bai–Perron test, we found structural breakpoints that match significant events in financial markets. Furthermore, the findings provide strong evidence in favour of the presence of long memory.
- Dostawca treści:
- Biblioteka Nauki
Artykuł