Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume

2018 ◽  
Vol 506 ◽  
pp. 433-450 ◽  
Author(s):  
Syed Jawad Hussain Shahzad ◽  
Jose Areola Hernandez ◽  
Waqas Hanif ◽  
Ghulam Mujtaba Kayani
Keyword(s):  
Long Memory ◽  
Trading Volume

Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence

2007 ◽  
Vol 17 (17) ◽  
pp. 1421-1430 ◽  
Author(s):  
Twm Evans ◽  
David G. McMillan
Keyword(s):  
Long Memory

Single step estimation of ARMA roots for non-fundamental nonstationary fractional models

2022 ◽  
Author(s):  
Ignacio N Lobato ◽  
Carlos Velasco
Keyword(s):  
Stock Market ◽  
Strong Evidence ◽  
Long Memory ◽  
Trading Volume ◽  
Moving Average ◽  
Single Step ◽  
Arma Process ◽  
Dow Jones Industrial Average ◽  
Fractional Models ◽  
Stock Market Trading

Abstract We propose a single step estimator for the autoregressive and moving-average roots (without imposing causality or invertibility restrictions) of a nonstationary Fractional ARMA process. These estimators employ an efficient tapering procedure, which allows for a long memory component in the process, but avoid estimating the nonstationarity component, which can be stochastic and/or deterministic. After selecting automatically the order of the model, we robustly estimate the AR and MA roots for trading volume for the thirty stocks in the Dow Jones Industrial Average Index in the last decade. Two empirical results are found. First, there is strong evidence that stock market trading volume exhibits non-fundamentalness. Second, non-causality is more common than non-invertibility.

scholarly journals Long Memory in Stock-Market Trading Volume

2000 ◽  
Vol 18 (4) ◽  
pp. 410-427 ◽  
Author(s):  
Ignacio N. Lobato ◽  
Carlos Velasco
Keyword(s):  
Stock Market ◽  
Long Memory ◽  
Trading Volume ◽  
Stock Market Trading

Long memory and tail dependence in trading volume and volatility

2013 ◽  
Vol 22 ◽  
pp. 94-112 ◽  
Author(s):  
Eduardo Rossi ◽  
Paolo Santucci de Magistris
Keyword(s):  
Long Memory ◽  
Trading Volume ◽  
Tail Dependence

The role of long memory in hedging effectiveness

2008 ◽  
Vol 52 (6) ◽  
pp. 3075-3082 ◽  
Author(s):  
Jerry Coakley ◽  
Jian Dollery ◽  
Neil Kellard
Keyword(s):  
Long Memory ◽  
Hedging Effectiveness
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