Different strokes for different folks: long memory and roughness

Different strokes for different folks: long memory and roughness

The log realized volatility of financial assets is often modeled as an autoregressive fractionally integrated moving average model (ARFIMA) process, denoted by ARFIMA(p, d, q), with p = 1 and q = 0. Two conflicting results have been found in the literature regarding the dynamics. One stream shows th...

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Bibliographic Details
Main Authors: SHI, Shuping, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
Long memory
fractional integration
roughness
short-run dynamics
realized volatility
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_working_paper/5
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1006&context=soe_working_paper
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_working_paper/5
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1006&context=soe_working_paper

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