| Title |
Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation / |
| Translation of Title |
Ilga atmintis aukšto dažnio valiutos kursuose: Hursto eksponentės priklausomybė nuo duomenų agregavimo. |
| Authors |
Pranckevičiūtė, Milda |
| DOI |
10.15388/LMR.2010.65 |
| Full Text |
|
| Is Part of |
Lietuvos matematikos rinkinys. LMD darbai.. Vilnius : Matematikos ir informatikos institutas. 2010, t. 51, p. 357-361.. ISSN 0132-2818 |
| Keywords [eng] |
Long memory ; Hurst exponent ; High frequency foreign exchange rates ; Data aggregation |
| Abstract [eng] |
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. |
| Published |
Vilnius : Matematikos ir informatikos institutas |
| Type |
Journal article |
| Language |
English |
| Publication date |
2010 |
| CC license |
|
