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dc.contributor.authorHaug, Stephanen
dc.contributor.authorCzado, Claudiaen
dc.date.accessioned2006-10-16-
dc.date.accessioned2010-05-14T10:14:27Z-
dc.date.available2010-05-14T10:14:27Z-
dc.date.issued2006-
dc.identifier.pidoi:10.5282/ubm/epub.1852en
dc.identifier.piurn:nbn:de:bvb:19-epub-1852-7en
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
dc.language.isoengen
dc.publisher|aLudwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen |cMünchenen
dc.relation.ispartofseries|aDiscussion Paper |x484en
dc.subject.ddc519en
dc.subject.keywordfractionally integrated exponential continuous time GARCH processen
dc.subject.keywordlong memory FIEGARCHen
dc.subject.keywordECUGARCHen
dc.subject.keywordLévy processen
dc.subject.keywordstationarityen
dc.subject.keywordstochastic volatilityen
dc.titleA fractionally integrated ECOGARCH process-
dc.type|aWorking Paperen
dc.identifier.ppn518769216en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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