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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Haug, S., Czado, C. 
Titel:
A fractionally integrated ECOGARCH process 
Abstract:
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) process. It is defined in such a way that it is a continuous time extension of the discrete time FIEGARCH(p, d, q) process. We investigate stationarity and moment properties of the new model. It is also shown that the long memory effect introduced in the log-volatility propagates to the volatility process. 
Stichworte:
fractionally integrated ECOGARCH process; long memory; L´evy process; stationarity; stochastic volatility 
Zeitschriftentitel:
Discussion Paper 484 beim SFB 386 "Diskrete Strukturen". 
Jahr:
2006 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 11 
Format:
Text