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17-105/III - Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

  • Authors
    Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus University, The Netherlands; Shelton Peiris, School of Mathematics and Statistics University of Sydney, Australia
  • Publication date
    November 3, 2017
  • Keywords
    Stochastic Volatility, Realized Volatility Measure, Long Memory, Gegenbauer Polynomial, Seasonality, Whittle Likelihood
  • JEL
    C18, C21, C58