Publications
Detailed Information
Poisson Jumps and Long Memory Volatility Process in High Frequency European Exchange Rates
Cited 0 time in
Web of Science
Cited 0 time in Scopus
- Authors
- Issue Date
- 2007-04
- Citation
- Seoul Journal of Economics, Vol.20 No.2, pp. 201-222
- Keywords
- High frequency foreign exchange rates ; FIGARCH ; Long memory property ; Normal mixture distribution
- Abstract
- This paper analyzes the intriguing features of 30-minute
European foreign exchange rates during the year 1996; jumps
and long memory volatility process. The FIGARCH model with
the Poisson distribution is applied in order to consider both the
jumps in the conditional mean process and the long memory
property in the conditional variance process of the high
frequency foreign exchange returns series. The general results
show that the Poisson distribution accounts for the jumps in
the high frequency foreign exchange rates returns quite well and
that the jumps seem to spuriously induce higher long memory
property in the high frequency foreign exchange returns. Hence,
the FIGARCH model with the Poisson distribution appears to be
quite appropriate for the specification of the high frequency
returns.
- ISSN
- 1225-0279
- Language
- English
- Files in This Item:
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.