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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2021
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| 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 |