TY  - RPRT
AU  - Peiris, Shelton
AU  - Asai, Manabu
AU  - McAleer, Michael
PY  - 2016
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/27571
AB  - In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Stochastic volatility
KW  - GARCH models
KW  - Gegenbauer Polynomial
KW  - Long Memory
KW  - Spectral Likelihood
KW  - Estimation
KW  - Forecasting.
TI  - Estimating and forecasting generalized fractional Long memory stochastic volatility models
TY  - technical report
VL  - 2016
ER  -