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Tracing the Source of Long Memory in Volatility

Authors: Deo, Rohit
Hsieh, Mengchen
Hurvich, Clifford M.
Issue Date: 13-Jan-2005
Publisher: Stern School of Business, New York University
Series/Report no.: SOR-2005-2
Abstract: We study the effects of trade duration properties on dependence in counts (number of trans-actions) and thus on dependence in volatility of returns. A return model is established to link counts and volatility. We present theorems as well as a conjecture relating properties of durations to long memory in counts and thus in volatility. We then apply several parametric duration models to empirical trade durations and discuss our findings in the light of the theorems and conjecture.
Appears in Collections:IOMS: Statistics Working Papers

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