Unveiling Non-Linearities Through Time Scale Transformations

Posted: 23 Aug 1998

See all articles by Dominique M. Guillaume

Dominique M. Guillaume

Catholic University of Leuven

Olivier V. Pictet

Pictet Asset Management

Ulrich A. Müller

Olsen & Associates

Michel M. Dacorogna

DEAR-Consulting

Abstract

In this paper, we show that intra-daily foreign exchange rate returns exhibit even stronger nonlinearities than daily or weekly returns. These nonlinearities result from the intra-daily seasonality and the presence of market participants with different time-horizons. Moreover, we present some evidence that both these nonlinearities and the auto-correlation patterns of the volatility can successfully be accounted for by successive time scale transformations.

JEL Classification: F31

Suggested Citation

Guillaume, Dominique M. and Pictet, Olivier V. and Müller, Ulrich A. and Dacorogna, Michel M., Unveiling Non-Linearities Through Time Scale Transformations. Available at SSRN: https://ssrn.com/abstract=6832

Dominique M. Guillaume

Catholic University of Leuven ( email )

Oude Markt 13
Center for Economic Studies
B-3000 Leuven
Belgium
32 16 32 68 40 (Phone)
32 16 32 67 (Fax)

Olivier V. Pictet (Contact Author)

Pictet Asset Management ( email )

Geneva
Switzerland

Ulrich A. Müller

Olsen & Associates ( email )

Seefeldstrasse 233
CH-8008 Zurich
Switzerland
+41 (1) 386 48 16 (Phone)
+41 (1) 422 22 82 (Fax)

Michel M. Dacorogna

DEAR-Consulting ( email )

Scheuchzerstrasse 160
Zurich, 8057
Switzerland
+41795447327 (Phone)

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