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:

Full metadata record

DC FieldValueLanguage
dc.contributor.authorHaug, Stephanen_US
dc.contributor.authorCzado, Claudiaen_US
dc.description.abstractIn 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.en_US
dc.publisherTechn. Univ.; Sonderforschungsbereich 386, Statistische Analyse Diskreter Strukturen Münchende
dc.relation.ispartofseriesDiscussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 484de
dc.subject.keywordfractionally integrated exponential continuous time GARCH processen_US
dc.subject.keywordlong memory FIEGARCHen_US
dc.subject.keywordLévy processen_US
dc.subject.keywordstochastic volatilityen_US
dc.titleA fractionally integrated ECOGARCH processen_US
dc.typeWorking Paperen_US
Appears in Collections:Discussion papers, SFB 386, LMU München

Files in This Item:
File Description SizeFormat
518769216.PDF341.11 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.