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- W4301675359 abstract "Exchange rates, like many other financial time series, display substantial heteroscedasticity. This poses obstacles in detecting trends and changes. Understanding volatility becomes extremely important in studying financial time series. Unfortunately, estimating volatility from low-frequency data, such as daily, weekly, or monthly observations, is very difficult. The recent availability of ultra-high-frequency observations, such as tick-by-tick data, to large financial institutions creates a new possibility for the analysis of volatile time series. This article uses tick-by-tick foreign-exchange rates to explore this new type of data. Unlike low-frequency data, high-frequency data have extremely high negative first-order autocorrelation in their return. In this article, I propose a model that can explain the negative autocorrelation and a volatility estimator for high-frequency data. The daily and hourly volatility estimates of exchange rate show some interesting patterns." @default.
- W4301675359 created "2022-10-05" @default.
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- W4301675359 date "1996-01-01" @default.
- W4301675359 modified "2023-09-25" @default.
- W4301675359 title "High-Frequency Data and Volatility in Foreign-Exchange Rates" @default.
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- W4301675359 doi "https://doi.org/10.1080/07350015.1996.10524628" @default.
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