Volatilities of different time resolutions - Analyzing the dynamics of market components

Journal of Empirical Finance

Volumn 4, Issue 2-3, 1997, Pages 213-239

  Müller, Ulrich A ^a   Dacorogna, Michel M ^a   Davé, Rakhal D ^a   Olsen, Richard B ^a   Pictet, Olivier V ^a   Von Weizsäcker, Jacob E ^b  

^a Olsen Ltd   (Switzerland)

^b UNIVERSITÉ DE LYON   (France)

Author keywords

Heterogeneous markets; High frequency data

Indexed keywords

EID: 0031161236     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(97)00007-8     Document Type: Article

References (26)

1. Admati, A.R., Pfleiderer, P., 1988. A theory of intraday patterns: Volume and price variability. The Review of Financial Studies 1, 3-40.
2. Baillie, R.T., Bollerslev, T., Mikkelsen, H.-O., 1996. Long memory processes and fractional integration in econometrics. Journal of Econometrics, forthcoming.
3. Berndt, E., Hall, B., Hall, R., Hausman, J., 1974. Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement 3, 653-665.
4. Bjorn, V., 1994. Optimal Multiresolution Decomposition of Financial Time-Series. Paper presented at the Conf. on Neural Networks in the Capital Markets in Pasadena, November 1994.
5. Bollerslev, T., 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307-327.
6. Bollerslev, T., 1987. A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics 69, 542-547.
7. Dacorogna, M.M., Müller, U.A., Nagler, R.J., Olsen, R.B., Pictet, O.V., 1993. A geographical model for the daily and weekly seasonal volatility in the FX market. Journal of International Money and Finance 12 (4), 413-438.
8. Dacorogna, M.M., Pictet, O.V., Müller, U.A., de Vries, C.G., 1994. The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets. Internal document UAM. 1992-10-22. Olsen&Associates, Seefeldstrasse 233, 8008 Zürich, Switzerland.
9. Dacorogna, M.M., Müller, U.A., Embrechts, P., Samorodnitsky, G., 1995. Moment Condition for HARCH(k) Models. Internal document MMD. 1995-02-24. Olsen&Associates, Seefeldstrasse 233, 8008 Zürich, Switzerland.
10. Ding, Z., Granger, C.W.J., Engle, R.F., 1993, A long memory property of stock market returns and a new model. Journal of Empirical Finance 1, 83-106.
11. Easley, D., O'Hara, M., 1992. Time and the process of security price adjustment. Journal of Finance 47 (2), 577-605.
12. Engle, R.F., 1982. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica 50, 987-1008.
13. Engle, R.F., Lee, G.G., 1993. A Permanent and Transistory Component Model of Stock Return Volatility. UCSD Department of Economics Discussion Paper, 92-44R, 1-29.
14. Engle, R.F., Ito, T., Lin, W.-L., 1990. Meteor showers or heat waves? Heteroskedastic intradaily volatility in the foreign exchange market. Econometrica 58, 525-542.
15. Froot, K.A., Scharfstein, D.S., Stein, J.C., 1992. Herd on the street: Informational inefficiencies in a market with short-term speculation. Journal of Finance 47 (4), 1461-1484.
16. Guillaume, D.M., Dacorogna, M.M., Davé, R.D., Müller, U.A., Olsen, R.B., Pictet, O.V., 1994. From the Bird's Eye to the Microscope: A Survey of New Stylized Facts of the Intra-Daily Foreign Exchange Markets. Internal document DMG. 1994-04-06. Olsen&Associates, Seefeldstrasse 233, 8008 Zürich, Switzerland.
17. Hamilton, J.D., 1994. Time Series Analysis. Princeton University Press, Princeton, NJ.
18. LeBaron, B., 1992. Some relations between volatility and serial correlations in stock market returns. Journal of Business 65 (2), 199-219.
19. Loretan, M., Phillips, P.C.B., 1994. Testing the covariance stationarity of heavy-tailed time series. Journal of Empirical Finance 1 (2), 211-248.
20. Lyons, R.K., 1995. Test of microstructural hypotheses in the foreign exchange market. Journal of Financial Economics 39, 321-351.
21. Meyn, S.P., Tweedie, R.L., 1993. Markov Chains and Stochastic Stability. Springer Verlag, Heidelberg.
22. Morris, S., 1994. Trade with heterogeneous prior beliefs and asymmetric information. Econometrica. 62 (6), 1327-1347.
23. Müller, U.A., Dacorogna, M.M., Olsen, R.B., Pictet, O.V., Schwarz, M., Morgenegg, C., 1990. Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis. Journal of Banking and Finance 14, 1189-1208.
24. Müller, U.A., Dacorogna, M.M., Davé, R.D., Pictet, O.V., Olsen, R.B., Ward, J.R., 1993. Fractals and Intrinsic Time - A Challenge to Econometricians. Invited presentation at the XXXIXth Int. AEA Conf. on Real Time Econometrics, 14-15 Oct 1993 in Luxembourg, and the 4th Int. PASE Workshop, 22-26 Nov 1993 in Ascona (Switzerland); also In: Lüthje, B. (Ed.), Erfolgreiche Zinsprognose. Verband öffentlicher Banken, Bonn 1994. UAM. 1993-08-16. Olsen&Associates, Seefeldstrasse 233, 8008 Zürich, Switzerland.
25. Osler, C.L., 1995. Exchange rate dynamics and speculator horizons. Journal of International Money and Finance 14 (5), 695-719.
26. Sentana, E., 1991. Quadratic ARCH models: A potential re-interpretation of ARCH models. LSE Financial Markets Group Discussion Paper 122, 1-45.