This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

The effects of temporal aggregation and choice of sampling frequency are of great interest in modeling the dynamics of asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation of a high-frequency series. Based on the theory of...