In recent years fractionally differenced processes have received a great deal of attention due to their flexibility in financial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general Gegenbauer long memory (GGLM), which...

A new class of stochastic covariance models based on Wishart distribution is proposed. Three categories of dynamic correlation models are introduced depending on how the time-varying covariance matrix is formulated and whether or not it is a latent variable. A stochastic covariance filter is...