Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates

Guglielmo Maria Caporale and Luis Gil-Alana

No 02/11, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

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.

Pages: 32 pages
Date: 2011-01-18
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.unav.edu/documents/10174/6546776/1298997151_WP_UNAV_02_11.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.unav.edu/documents/10174/6546776/1298997151_WP_UNAV_02_11.pdf [301 Moved Permanently]--> https://www.unav.edu/documents/10174/6546776/1298997151_WP_UNAV_02_11.pdf)

Related works:
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:una:unccee:wp0211

Access Statistics for this paper

More papers in Faculty Working Papers from School of Economics and Business Administration, University of Navarra
Bibliographic data for series maintained by ().