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

Syed Jawad Hussain Shahzad Jose Areola Hernandez 1 Waqas Hanif Ghulam Mujtaba Kayani
1 ESC Rennes School of Business
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https://hal-rennes-sb.archives-ouvertes.fr/hal-01813245
Contributor : Steven Gouin Connect in order to contact the contributor
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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