Asai, Manabu; McAleer, Michael; Peiris, Shelton - 2017
financial 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 describe …