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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 int...

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Hovedforfatter: Milda Pranckevičiūtė
Format: Artigo
Sprog:Inglês
Udgivet: Vilnius University Press 2010-12-01
Serier:Lietuvos Matematikos Rinkinys
Fag:
long memory
Hurst exponent
high frequency foreign exchange rates
data aggregation
Online adgang:https://www.journals.vu.lt/LMR/article/view/17850
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