Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume - Rennes School of Business Access content directly
Journal Articles Physica A: Statistical Mechanics and its Applications Year : 2018

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

Syed Jawad Hussain Shahzad
  • Function : Author
Waqas Hanif
  • Function : Author
Ghulam Mujtaba Kayani
  • Function : Author
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hal-01813245 , version 1 (12-06-2018)

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Syed Jawad Hussain Shahzad, Jose Areola Hernandez, Waqas Hanif, Ghulam Mujtaba Kayani. Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume. Physica A: Statistical Mechanics and its Applications, 2018, 506, pp.433 - 450. ⟨10.1016/j.physa.2018.04.016⟩. ⟨hal-01813245⟩
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