Fractional differencing in discrete time
Date
2011-07-23
Authors
Elder, John, author
Elliott, Robert J., author
Miao, Hong, author
Quantitative Finance, publisher
Journal Title
Journal ISSN
Volume Title
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.
Description
Includes bibliographical references (pages 18-21).
Published as: Quantitative Finance, vol.13, no. 32, pp.195-204, February 2013, https://doi.org/10.1080/14697688.2012.676207.
Published as: Quantitative Finance, vol.13, no. 32, pp.195-204, February 2013, https://doi.org/10.1080/14697688.2012.676207.
Rights Access
Subject
fractional difference
discrete time
metal futures
long memory