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| Author: | Cotter, J. |
| Title: | Uncovering long memory in high frequency UK futures |
| Journal: | European Journal of Finance
2005 : AUG, VOL. 11:4, p. 325-337 |
| Index terms: | Futures markets Regression analysis Volatility United Kingdom |
| Language: | eng |
| Abstract: | Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this article for alternative risk measures, observed absolute and squared returns for high frequency intraday UK futures. Volatility series for three different asset types, using stock index, interest rate and bond futures are analysed. |
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