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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2007.1
- 수록면
- 201 - 222 (22page)
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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.
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참고문헌 (28)
참고문헌 신청
Andersen, Torben G / 1998 / Deutsche Mark - Dollar Volatility: Intraday Activity, Patterns, Macroeconomic Announcements and Longer Run Dependence 53 (1) : 219 ~ 265
Andersen, Torben G / 2003 / Micro Effects of Macro Announcements: Real-time Price Discovery in Foreign Exchange 93 (1) : 38 ~ 62
Andersen, Torben G / Nos.2-31997 / Intraday Periodicity and Volatility Persistence in Financial Markets 4 : 115 ~ 158
Baillie / / “Intra-day and Inter-market Volatility in Foreign Exchange Rates ” Review of Economic Studies 58 : 3 565 ~ 1991 85
Baillie, R. T / 1996 / Long Memory Processes and Fractional Integration in Econometrics 73 (1) : 5 ~ 59
Andersen, Torben G / 2003 / Micro Effects of Macro Announcements: Real-time Price Discovery in Foreign Exchange 93 (1) : 38 ~ 62
Andersen, Torben G / Nos.2-31997 / Intraday Periodicity and Volatility Persistence in Financial Markets 4 : 115 ~ 158
Baillie / / “Intra-day and Inter-market Volatility in Foreign Exchange Rates ” Review of Economic Studies 58 : 3 565 ~ 1991 85
Baillie, R. T / 1996 / Long Memory Processes and Fractional Integration in Econometrics 73 (1) : 5 ~ 59
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