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Tracing the Source of Long Memory in Volatility

Rohit Deo (), Mengchen Hsieh and Clifford Hurvich
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Mengchen Hsieh: New York University

Econometrics from University Library of Munich, Germany

Abstract: We study the effects of trade duration properties on dependence in counts (number of transactions) and thus on dependence in volatility of returns. A return model is established to link counts and volatility. We present theorems as well as a conjecture relating properties of durations to long memory in counts and thus in volatility. We then apply several parametric duration models to empirical trade durations and discuss our findings in the light of the theorems and conjecture.

JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin and nep-fmk
Date: 2005-01-13
Note: Type of Document - pdf; pages: 38
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0501005

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