Open AccessLong memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation
Author(s) -
Milda Pranckevičiūtė
Publication year - 2010
Publication title -
lietuvos matematikos rinkinys
Language(s) - English
Resource type - Journals
eISSN - 2335-898X
pISSN - 0132-2818
DOI - 10.15388/lmr.2010.65
Subject(s) - hurst exponent , pointwise , long memory , statistic , econometrics , exchange rate , us dollar , economics , pound (networking) , foreign exchange market , foreign exchange , mathematics , statistics , monetary economics , computer science , mathematical analysis , volatility (finance) , world wide web
This paper presents the study on long memory in absolute daily returns of the US dollar versus euro, the British pound and the Japanese yen aggregated foreign exchange rates. Pointwise, maximum price, minimum price and average price aggregation rules for high frequency foreign exchange rates are introduced. The classical R/S statistic is used to analyze Hurst exponents dependence on the choice of data aggregation function.