Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation

Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation

This paper presents the study on long memory in absolute daily returns of the US dollar versus euro, the British pound and the Japanese yen aggregated foreign exchange rates. Pointwise, maximum price, minimum price and average price aggregation rules for high frequency foreign exchange rates are in...

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Bibliographic Details
Main Author: Milda Pranckevičiūtė
Format: Article
Language:English
Published: Vilnius University Press 2010-12-01
Series:Lietuvos Matematikos Rinkinys
Subjects:
long memory
Hurst exponent
high frequency foreign exchange rates
data aggregation
Online Access:https://www.journals.vu.lt/LMR/article/view/17850

Internet

https://www.journals.vu.lt/LMR/article/view/17850

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