Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/5055
Title: Long memory and fractional integration in high frequency financial time series
Authors: Caporale, GM
Gil-Alana, LA
Keywords: High frequency data;Long memory;Volatility persistence;Structural breaks
Issue Date: 2010
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University, 10-10
Abstract: This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for the error term. In brief, we find evidence that a lower degree of integration is associated with lower data frequencies. In particular, when the data are collected every 10 minutes there are several cases with values of d strictly smaller than 1, implying mean-reverting behaviour. This holds for all four series examined, namely Open, High, Low and Last observations for the British pound/US dollar spot exchange rate.
URI: http://bura.brunel.ac.uk/handle/2438/5055
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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