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Persistent link: https://www.econbiz.de/10010093499
Using high frequency intraday returns, we construct a proxy for the USD/GBP exchange rate return realized volatility. It is shown that they dynamics of the logarithms of realized volatilities can be captured be either a fractionally integrated long memory likelihood. The paper compares the...
Persistent link: https://www.econbiz.de/10009478140
Using high frequency intraday returns, we construct a proxy for the USD/GBP exchange rate return realized volatility. It is shown that they dynamics of the logarithms of realized volatilities can be captured be either a fractionally integrated long memory likelihood. The paper compares the...
Persistent link: https://www.econbiz.de/10009433335
Persistent link: https://www.econbiz.de/10009985680
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