Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited

Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited

In recent years, fractionally-differenced processes have received a great deal of attention due to their flexibility in financial applications with long-memory. This paper revisits the class of generalized fractionally-differenced processes generated by Gegenbauer polynomials and the ARMA structure...

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Bibliographic Details
Main Authors: M. Shelton Peiris, Manabu Asai
Format: Article
Language:English
Published: MDPI AG 2016-09-01
Series:Econometrics
Subjects:
GARMA
GARCH
stochastic volatility
long-memory
fractional differencing
Online Access:http://www.mdpi.com/2225-1146/4/3/37

Internet

http://www.mdpi.com/2225-1146/4/3/37

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