Uncovering Long Memory in High Frequency UK Futures

John Cotter

Papers from arXiv.org

Abstract: Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed absolute and squared returns for high frequency intraday UK futures. Volatility series for three different asset types, using stock index, interest rate and bond futures are analysed. Long memory is strongest for the bond contract. Long memory is always strongest for the absolute returns series and at a power transformation of k

Date: 2011-03
New Economics Papers: this item is included in nep-ets, nep-mst and nep-rmg
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1103.5651 Latest version (application/pdf)

Related works:
Working Paper: Uncovering Long Memory in High Frequency UK Futures (2011)
Journal Article: Uncovering long memory in high frequency UK futures (2005)
Working Paper: Uncovering Long Memory in High Frequency UK Futures (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1103.5651

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().