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Pong et al., 2008 - Google Patents

Distinguishing short and long memory volatility specifications

Pong et al., 2008

View PDF
Document ID
4693177779148851295
Author
Pong S
Shackleton M
Taylor S
Publication year
Publication venue
The Econometrics Journal

External Links

Snippet

Asset price volatility appears to be more persistent than can be captured by individual, short memory, autoregressive or moving average components. Fractional integration offers a very parsimonious and tempting formulation of this long memory property of volatility but other …
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