Long Memory in Integrated and Realized Variance

DOI10.1007/978-3-642-35588-2_47zbMath1300.62107OpenAlexW421697589MaRDI QIDQ2930712

Paolo Santucci de Magistris, Eduardo Rossi

Publication date: 19 November 2014

Published in: Advances in Theoretical and Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-35588-2_47

zbMATH Keywords

fractional Brownian motionlong memorymeasurement errorrealized volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22)

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