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Title:

Fractionally integrated COGARCH processes

Document type:
Zeitschriftenaufsatz
Author(s):
Haug, S., Klüppelberg, C., and Straub, G.
Abstract:
We construct fractionally integrated continuous-time GARCH models, which capture the observed long range dependence of squared volatility in high-frequency data. Since the usual Molchan-Golosov and Mandelbrot-van-Ness fractional kernels lead to problems in the definition of the model, we resort to moderately long memory processes by choosing a fractional parameter d∈ (-0.5,0) and remove the singularities of the kernel to obtain non-pathological sample paths. The volatility of the new fracti...     »
Keywords:
FICOGARCH, fractionally integrated COGARCH, fractional subordinator, Lévy process, long-range dependence, stationarity, stochastic volatility modeling
Dewey Decimal Classification:
510 Mathematik
Journal title:
Journal of Financial Econometrics
Year:
2018
Journal volume:
16
Year / month:
2018-10
Quarter:
4. Quartal
Month:
Oct
Journal issue:
4
Pages contribution:
599–628
Language:
en
Fulltext / DOI:
doi:10.1093/jjfinec/nby020
WWW:
Journal of Financial Econometrics
Publisher:
Oxford Academic
Publisher address:
Oxford, UK
Status:
Verlagsversion / published
Semester:
WS 18-19
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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