Variance-ratio statistics and high-frequency data: testing for changes in intraday volatility patterns

Article Abstract:

This article evaluates the variation in return volatility using a Fourier Flexible Form regression framework rather than the usual variance-ratio tests, which the authors find to be misleading. Results are illustrated through tests for changes in the intraday volatility pattern after removing trade restrictions in Tokyo, finding no changes outside the lunch period.

Research and Development in the Physical, Engineering, and Life Sciences, World, Statistics, Statistical Data Included, Usage, Evaluation, Statistics (Data), Databases, Analysis of variance, Statistics (Mathematics)

---

Heterogeneous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns

Article Abstract:

Recent empirical evidence suggests that the interdaily volatility clustering for most speculative returns are best characterized by a slowly mean-reverting fractionally integrated process. Meanwhile, much shorter lived volatility dynamics are typically observed with high frequency intradaily returns. The present article demonstrates, that by interpreting the volatility as a mixture of numerous heterogeneous short-run information arrivals, the observed volatility process may exhibit long-run dependence. As such, the long-memory characteristics constitute an intrinsic feature of the return generating process, rather than the manifestation of occasional structural shifts. These ideas are confirmed by our analysis of a one-year time series of five-minute Deutschemark-U.S. Dollar exchange rates. (Reprinted by permission of the publisher.)

Foreign exchange, Financial markets, Return on investment, Rate of return

---

Deutsche mark-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies

Article Abstract:

This paper provides a detailed characterization of the volatility in the deutsche mark-dollar foreign exchange market using an annual sample of five-minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and the volatility persistence (ARCH) known from daily returns. The different features are separately quantified and shown to account for a substantial fraction of return variability, both at the intraday and daily level. The implications of the results for the interpretation of the fundamental "driving forces" behind the volatility process is also discussed. (Reprinted by permission of the publisher.)

Dollar (United States), Foreign exchange market, Mark (Germany)

Similar abstracts:

• Abstracts: Discount rate changes, stock market returns, volatility, and trading volume: evidence from intraday data and implications for market efficiency
• Abstracts: Common stock returns and international listing announcements: conditional tests of the mild segmentation hypothesis
• Abstracts: Hospital financial ratio classification patterns revisited: upon considering nonfinancial information. The impact of medicare capital prospective payment regulation on hospital capital expenditures
• Abstracts: Purchase life insurance in qualified retirement plans: myths and realities. If the estate tax is repealed
• Abstracts: Lula's recipe for Brazil's economic recovery: a little bit of give and take. Brazil Brings It On

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.