16-044/III - Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

• Authors
  Shelton Peiris, University of Sydney, Australia; Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain
• Publication date
  June 6, 2016

• Keywords
  Stochastic volatility, GARCH models, Gegenbauer Polynomial, Long Memory, Spectral Likelihood, Estimation, Forecasting
• JEL
  C18, C21, C58