Long memory and fractional integration in high frequency financial time series

Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2010) Long memory and fractional integration in high frequency financial time series. Centre for International Capital Markets discussion papers, 2010 (07). pp. 1-26. ISSN 1749-3412

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Abstract / Description

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for the error term. In brief, we find evidence that a lower degree of integration is associated with lower data frequencies. In particular, when the data are collected every 10 minutes there are several cases with values of d strictly smaller than 1, implying mean-reverting behaviour. This holds for all four series examined, namely Open, High, Low and Last observations for the British pound/US dollar spot exchange rate.

Item Type:	Article
Uncontrolled Keywords:	Centre for International Capital Markets discussion papers; CICM discussion papers; high frequency data; long memory; volatility persistence; structural breaks
Subjects:	300 Social sciences > 330 Economics
Department:	Guildhall School of Business and Law
Depositing User:	Mary Burslem
Date Deposited:	20 Apr 2015 10:34
Last Modified:	16 May 2018 11:16
URI:	https://repository.londonmet.ac.uk/id/eprint/418

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