Fractional differencing in discrete time
Date
2013
Authors
Elder, J.
Elliott, R.
Miao, H.
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Advisors
Journal Title
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Type:
Journal article
Citation
Quantitative Finance, 2013; 13(2):195-204
Statement of Responsibility
John Elder, Robert J. Elliott and Hong Miao
Conference Name
Abstract
This paper consists of two parts, a theoretical followed by an empirical contribution. We first give a new framework for fractional differencing in discrete time and show how the definition of fractional differencing that is commonly employed in empirical financial applications arises as a special case. We then use these methods to estimate the fractional differencing parameter in the return and volatility for three Comex metal futures contracts. The metal futures are sampled at very high frequencies—five-minute intervals over a nearly eight year period.
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Dissertation Note
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Description
Link to a related website: https://mountainscholar.org/bitstream/10217/206895/1/Miao_H_QuaFin_2013.pdf, Open Access via Unpaywall
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© 2013 Taylor & Francis