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Trading frequency and volatility clustering

✍ Scribed by Yi Xue; Ramazan Gençay

Book ID
116615960
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
759 KB
Volume
36
Category
Article
ISSN
0378-4266

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We studied the long-term memory in diverse stock market indices and foreign exchange rates using Detrended Fluctuation Analysis (DFA). For all high-frequency market data studied, no significant long-term memory property was detected in the return series, while a strong long-term memory property was