Fractionally integrated COGARCH processes

Keyphrases

• Volatility 100%
• High-frequency Data 100%
• Continuous-time GARCH Process 100%
• COGARCH Process 100%
• Fractionally Integrated 100%
• Covariance Function 50%
• Stationarity 50%
• Long-range Dependence 50%
• Non-pathogenic 50%
• Econometrics 50%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 50%
• Generalized Method of Moments 50%
• Exchange Rate Data 50%
• Sample Path 50%
• Fractional Parameter 50%
• Long Memory Process 50%
• Algebraic Decay 50%
• Fractional Kernels 50%
• Positive Features 50%
• Mandelbrot 50%
• Simulation-based 50%

Mathematics

• High-Frequency Data 100%
• Continuous Time 100%
• Covariance Function 50%
• Stationarity 50%
• Range Dependence 50%
• GARCH Model 50%
• Long-Memory Process 50%
• Method of Moment 50%
• Sample Path 50%

Computer Science

• Continuous Time 100%
• Positive Feature 50%
• Covariance Function 50%