Tracing the Source of Long Memory in Volatility

40 Pages Posted: 3 Nov 2008

See all articles by Rohit Deo

Rohit Deo

Stern School of Business, New York University

Mengchen Hsieh

affiliation not provided to SSRN

Clifford M. Hurvich

Stern School of Business, New York University; New York University (NYU) - Department of Information, Operations, and Management Sciences

Date Written: January 2005

Abstract

We study the effects of trade duration properties on dependence in counts (number of trans-actions) and thus on dependence in volatility of returns. A return model is established to link counts and volatility. We present theorems as well as a conjecture relating properties of durations to long memory in counts and thus in volatility. We then apply several parametric durationmodels to empirical trade durations and discuss our findings in the light of the theorems and conjecture.

Suggested Citation

Deo, Rohit and Hsieh, Mengchen and Hurvich, Clifford M., Tracing the Source of Long Memory in Volatility (January 2005). Statistics Working Papers Series, Vol. , pp. -, 2005. Available at SSRN: https://ssrn.com/abstract=1293156

Rohit Deo

Stern School of Business, New York University ( email )

44 West Fourth Street
New York, NY 10012
United States

Mengchen Hsieh

affiliation not provided to SSRN ( email )

Clifford M. Hurvich

Stern School of Business, New York University ( email )

44 West 4th Street
New York, NY 10012-1126
United States

New York University (NYU) - Department of Information, Operations, and Management Sciences

44 West Fourth Street
New York, NY 10012
United States

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