Generalized fractional processes with long memory and time dependent volatility revisited
Year of publication: |
September 2016
|
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Authors: | Peiris, M. Shelton ; Asai, Manabu |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 4.2016, 3, p. 1-21
|
Subject: | GARMA | GARCH | stochastic volatility | long-memory | fractional differencing | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics4030037 [DOI] hdl:10419/171887 [Handle] |
Classification: | c18 ; C40 - Econometric and Statistical Methods: Special Topics. General ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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