Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9553169 | Japan and the World Economy | 2005 | 13 Pages |
Abstract
Using a new type of 5Â min high frequency dataset consisting of real time Korean won (KRW)-US dollar ($) exchange rates, this paper characterizes the volatility process of high frequency returns. The semi-parametric local Whittle estimation is applied to estimate the long memory dependency in the volatility process of the 5Â min KRW-$ returns and the temporally aggregated returns data. The estimation results present that the underlying long memory dependency in the volatility process appears to be generally consistent across various temporally aggregated returns and that the exogenous shocks and the multiple breaks associated with the crisis in the market seem to induce greater long memory dependency during the crisis.
Keywords
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Social Sciences and Humanities
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Economics and Econometrics
Authors
Young Wook Han,