Estimation of stochastic volatility with long memory for index prices of FTSE Bursa Malaysia KLCI
In recent years, modeling in long memory properties or fractionally integrated processes in stochastic volatility has been applied in the financial time series. A time series with structural breaks can generate a strong persistence in the autocorrelation function, which is an observed behaviour of a...
| Main Authors: | , , , , |
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| Format: | Conference or Workshop Item |
| Published: |
2014
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| Subjects: |