| Publications [#238028] of Tim Bollerslev
Journal Articles
- Andersen, TG; Bollerslev, T, Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns,
Journal of Finance, vol. 52 no. 3
(January, 1997),
pp. 975-1005, WILEY [doi]
(last updated on 2024/03/28)
Abstract: Recent empirical evidence suggests that the interdaily volatility clustering for most speculative returns are best characterized by a slowly mean-reverting fractionally integrated process. Meanwhile, much shorter lived volatility dynamics are typically observed with high frequency intradaily returns. The present article demonstrates, that by interpreting the volatility as a mixture of numerous heterogeneous short-run information arrivals, the observed volatility process may exhibit long-run dependence. As such, the long-memory characteristics constitute an intrinsic feature of the return generating process, rather than the manifestation of occasional structural shifts. These ideas are confirmed by our analysis of a one-year time series of five-minute Deutschemark-U.S. Dollar exchange rates.
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