Realized stochastic volatility models with generalized Gegenbauer long memory
Manabu Asai (Faculty of Economics, Soka University, Japan), Michael McAleer (Department of Quantitative Finance, National Tsing Hua University, Taiwan, and Discipline of Business Analytics, University of Sydney Business School, Australia, and Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics, Complutense University of Madrid, Spain and Institute of Advanced Sciences Yokohama National University, Japan), Shelton Peiris (School of Mathematics and Statistics, University of Sydney, Australia)
| Year of publication: |
November 2017
|
|---|---|
| Authors: | Asai, Manabu ; McAleer, Michael ; Peiris, Shelton |
| Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
| Subject: | Stochastische Volatilität | Stochastic volatility | Saisonkomponente | Seasonal component | Monte-Carlo-Simulation | Monte Carlo simulation |
freely available