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| Author: | Bollerslev, T. Wright, J. H. |
| Title: | Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data |
| Journal: | Journal of Econometrics
2000 : SEP, VOL. 98:1, p. 81-106 |
| Index terms: | Econometric models Stochastic processes Exchange rates Floating rates Monte Carlo technique |
| Language: | eng |
| Abstract: | The simulations reported in this paper demonstrate that, in contrast to log-periodogram regression estimates for the degree of fractional integration in the mean (where the span of the data is crucially important), the quality of the inference concerning long-memory dependencies in the conditional variance is intimately related to the sampling frequency of the dta. The theoretical findings are illustrated in this study through the analysis of a ten-year time series consisting of more than half-a-million intradaily observations on the Japanese Yen-U.S. Dollar exchange rate. |
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