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