Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate

International Review of Financial Analysis

Volumn 29, Issue , 2013, Pages 1-9

  Caporale, Guglielmo Maria ^a   Gil Alana, Luis A ^b  

^a BRUNEL UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF NAVARRA   (Spain)

Author keywords

High frequency data; Long memory; Structural breaks; Volatility persistence

Indexed keywords

EID: 84876469750     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2013.03.011     Document Type: Article

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