Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/79355
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Type: Journal article
Title: Fractional differencing in discrete time
Author: Elder, J.
Elliott, R.
Miao, H.
Citation: Quantitative Finance, 2013; 13(2):195-204
Publisher: IOP Publishing Ltd.
Issue Date: 2013
ISSN: 1469-7688
1469-7696
Statement of
Responsibility: 
John Elder, Robert J. Elliott and Hong Miao
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.
Keywords: Time series analysis
commodity prices
computational finance
empirical time series analysis
wavelets in finance
Rights: © 2013 Taylor & Francis
DOI: 10.1080/14697688.2012.676207
Published version: http://dx.doi.org/10.1080/14697688.2012.676207
Appears in Collections:Aurora harvest
Mathematical Sciences publications

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