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

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Submitted on : Tuesday, June 12, 2018 - 10:48:52 AM
Last modification on : Wednesday, June 13, 2018 - 1:07:56 AM

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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, Elsevier, 2018, 506, pp.433 - 450. ⟨10.1016/j.physa.2018.04.016⟩. ⟨hal-01813245⟩

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