Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31132
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dc.contributor.authorHaug, Stephanen_US
dc.contributor.authorCzado, Claudiaen_US
dc.date.accessioned2006-10-16en_US
dc.date.accessioned2010-05-14T10:14:27Z-
dc.date.available2010-05-14T10:14:27Z-
dc.date.issued2006en_US
dc.identifier.piurn:nbn:de:bvb:19-epub-1852-7-
dc.identifier.urihttp://hdl.handle.net/10419/31132-
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.language.isoengen_US
dc.publisher|aTechn. Univ.; Sonderforschungsbereich 386, Statistische Analyse Diskreter Strukturen|cMünchende
dc.relation.ispartofseries|aDiscussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München|x484de
dc.subject.ddc310en_US
dc.subject.keywordfractionally integrated exponential continuous time GARCH processen_US
dc.subject.keywordlong memory FIEGARCHen_US
dc.subject.keywordECUGARCHen_US
dc.subject.keywordLévy processen_US
dc.subject.keywordstationarityen_US
dc.subject.keywordstochastic volatilityen_US
dc.titleA fractionally integrated ECOGARCH processen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn518769216en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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