Unveiling Non-Linearities Through Time Scale Transformations

In this paper, we show that intra-daily foreign exchange rate returns exhibit even stronger nonlinearities than daily or weekly returns. These nonlinearities result from the intra-daily seasonality and the presence of market participants with different time-horizons. Moreover, we present some evidence that both these nonlinearities and the auto-correlation patterns of the volatility can successfully be accounted for by successive time scale transformations

MoreLess

Year of publication:	[1998]
Authors:	Guillaume, Dominique M.
Other Persons:	Pictet, Olivier V. (contributor) ; Müller, Ulrich A. (contributor) ; Dacorogna, Michel M. (contributor)
Publisher:	[1998]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	Volltext nicht verfügbar
Classification:	F31 - Foreign Exchange
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012791638