Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume

Syed Jawad Hussain Shahzad, Jose Areola Hernandez, Waqas Hanif and Ghulam Mujtaba Kayani
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Jose Areola Hernandez: ESC [Rennes] - ESC Rennes School of Business
Waqas Hanif: CUI - COMSATS University Islamabad
Ghulam Mujtaba Kayani: CIIT - COMSATS Institute of Information Technology [Islamabad]

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Date: 2018-09
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Published in Physica A: Statistical Mechanics and its Applications, 2018, 506, pp.433 - 450. ⟨10.1016/j.physa.2018.04.016⟩

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Journal Article: Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01813245

DOI: 10.1016/j.physa.2018.04.016

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