The long memory properties of the integrated and realized volatility are investigated under the assumption that the instantaneous volatility is driven by a fractional Brownian motion. The equality of their long memory degrees is proved in the ideal situation when prices are observed continuously. In this case, the spectral density of the integrated and realized volatility coincide.
Long memory in integrated and realized variance / Rossi, Eduardo; Santucci de Magistris, Paolo. - (2013), pp. 523-532. [10.1007/978-3-642-35588-2_47]
Long memory in integrated and realized variance
Santucci de Magistris, Paolo
2013
Abstract
The long memory properties of the integrated and realized volatility are investigated under the assumption that the instantaneous volatility is driven by a fractional Brownian motion. The equality of their long memory degrees is proved in the ideal situation when prices are observed continuously. In this case, the spectral density of the integrated and realized volatility coincide.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
Rossi_Santucci_2013_A.pdf
Solo gestori archivio
Tipologia:
Documento in Pre-print
Licenza:
Tutti i diritti riservati
Dimensione
217.73 kB
Formato
Adobe PDF
|
217.73 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
Caricamento pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
