Article ID: | iaor2004544 |
Country: | Netherlands |
Volume: | 34 |
Issue: | 9/11 |
Start Page Number: | 955 |
End Page Number: | 1001 |
Publication Date: | Nov 2001 |
Journal: | Mathematical and Computer Modelling |
Authors: | Rachev S.T., Marinelli C., Roll R. |
Keywords: | statistics: empirical |
We investigate the main properties of high-frequency exchange rate data in the setting of stochastic subordination and stable modeling, focusing on heavy-tailedness and long memory, together with their dependence on the sampling period. We show that the intrinsic time process exhibits strong long-range dependence and has increments well described by a Weibull law, while the return series in intrinsic time has weak long memory and is well approximated by a stable Lévy motion. We also show that the stable domain of attraction offers a good fit to the returns in physical time, which leads us to consider as a realistic model for exchange rate data a process