|
EconStor >
Ludwig-Maximilians-Universität München (LMU) >
Sonderforschungsbereich 386: Statistische Analyse diskreter Strukturen, Universität München (LMU) >
Discussion papers, SFB 386, LMU München >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/31132
|
| | |
| Title: | | A fractionally integrated ECOGARCH process  |
| Authors: | | Haug, Stephan Czado, Claudia |
| Issue Date: | | 2006 |
| Series/Report no.: | | Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 484 |
| Abstract: | | In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) process. It is defined in such a way it is a continuous time extension of the discrete time FIEGARCH(p,d,q) process. We investigate stationarity and moment properties of the new model. It is also shown that the long memory effect introduced in the log-volality propagates to the volality process. |
| Subjects: | | fractionally integrated exponential continuous time GARCH process long memory FIEGARCH ECUGARCH Lévy process stationarity stochastic volatility |
| Persistent Identifier of the first edition: | | urn:nbn:de:bvb:19-epub-1852-7 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion papers, SFB 386, LMU München
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/31132
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|