Estimating and forecasting generalized fractional long memory stochastic volatility models
Shelton Peiris (School of Mathematics and Statistics, University of Sydney, Australia), Manabu Asai (Faculty of Economics, Soka University, Japan), Michael McAleer (Department of Quantitative Finance, National Tsing Hua University, Taiwan and Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Department of Quantitative Economics, Complutense University of Madrid, Spain)
| Year of publication: |
June 2016
|
|---|---|
| Authors: | Peiris, Shelton ; Asai, Manabu ; McAleer, Michael |
| Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
| Subject: | Stochastische Volatilität | Stochastic volatility | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Yen | Euro | Pfund Sterling | Pound Sterling | US-Dollar | US dollar |
freely available