Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of Risk and Financial Management 10 (2017) 4, pp. 1-16
memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the …This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long …