Asai, Manabu; McAleer, Michael; Peiris, Shelton - 2017
fi nancial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with … general Gegenbauer long memory (GGLM), which encompasses a new RSV model with seasonal long memory (SLM). The RSV model uses … the information from returns and realized volatility measures simultaneously. The long memory structure of both models can …