TY  - RPRT
AU  - Asai, Manabu
AU  - McAleer, Michael
AU  - Peiris, Shelton
PY  - 2017
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/22934
AB  - In recent years fractionally differenced processes have received a great deal of attention due to their exibility in nancial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Stochastic Volatility
KW  - Realized Volatility Measure
KW  - Long Memory
KW  - Gegenbauer Polynomial
KW  - Seasonality
KW  - Whittle Likelihood.
TI  - Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
TY  - technical report
VL  - 2017
ER  -