Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31132
Authors: 
Haug, Stephan
Czado, Claudia
Year of Publication: 
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: 
Document Type: 
Working Paper

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