Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns
Journal Article (Journal Article)
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.
Full Text
Duke Authors
Cited Authors
- Andersen, TG; Bollerslev, T
Published Date
- January 1, 1997
Published In
Volume / Issue
- 52 / 3
Start / End Page
- 975 - 1005
International Standard Serial Number (ISSN)
- 0022-1082
Digital Object Identifier (DOI)
- 10.2307/2329513
Citation Source
- Scopus