In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) process. It is defined in such a way that 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-volatility propagates to the volatility process
Following the important work on unit roots and cointegration which started in the mid-1980s, a great...
Extracting and forecasting the volatility of financial markets is an important empirical problem. Ti...
In recent years fractionally differenced processes have received a great deal of attention due to it...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) proces...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) proc...
In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such ...
We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic vola...
This paper generalizes the standard long memory modeling by assuming that the long memory parameter ...
It is commonly accepted that some financial data may exhibit long-range dependence, while other fina...
This paper seeks to study the persistence in the G7’s stock market volatility, which is carried out ...
Abstract. The EGARCH model of Nelson [29] is one of the most successful ARCH models which may exhibi...
A continuous time GARCH model of order (p,q) is introduced, which is driven by a single Lévy process...
We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure conv...
Following the important work on unit roots and cointegration which started in the mid-1980s, a great...
Extracting and forecasting the volatility of financial markets is an important empirical problem. Ti...
In recent years fractionally differenced processes have received a great deal of attention due to it...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) proces...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) proc...
In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such ...
We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic vola...
This paper generalizes the standard long memory modeling by assuming that the long memory parameter ...
It is commonly accepted that some financial data may exhibit long-range dependence, while other fina...
This paper seeks to study the persistence in the G7’s stock market volatility, which is carried out ...
Abstract. The EGARCH model of Nelson [29] is one of the most successful ARCH models which may exhibi...
A continuous time GARCH model of order (p,q) is introduced, which is driven by a single Lévy process...
We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure conv...
Following the important work on unit roots and cointegration which started in the mid-1980s, a great...
Extracting and forecasting the volatility of financial markets is an important empirical problem. Ti...
In recent years fractionally differenced processes have received a great deal of attention due to it...
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