Fractional differencing in discrete time
| dc.contributor.author | Elder, John, author | |
| dc.contributor.author | Elliott, Robert J., author | |
| dc.contributor.author | Miao, Hong, author | |
| dc.contributor.author | Quantitative Finance, publisher | |
| dc.date.accessioned | 2020-05-18T22:28:10Z | |
| dc.date.available | 2020-05-18T22:28:10Z | |
| dc.date.issued | 2011-07-23 | |
| dc.description | Includes bibliographical references (pages 18-21). | |
| dc.description | Published as: Quantitative Finance, vol.13, no. 32, pp.195-204, February 2013, https://doi.org/10.1080/14697688.2012.676207. | |
| dc.description.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. | |
| dc.format.medium | born digital | |
| dc.format.medium | articles | |
| dc.identifier.bibliographicCitation | Elder, J., Elliott, R., & Miao, H. (2013). Fractional differencing in discrete time. Quantitative Finance, 13(2), 195–204. https://doi.org/10.1080/14697688.2012.676207 | |
| dc.identifier.uri | https://hdl.handle.net/10217/206895 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Colorado State University. Libraries | |
| dc.relation.ispartof | Faculty Publications | |
| dc.rights | ©2013 Informa UK Limited. Author can archive pre-print and post-print. | |
| dc.rights | Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright. | |
| dc.subject | fractional difference | |
| dc.subject | discrete time | |
| dc.subject | metal futures | |
| dc.subject | long memory | |
| dc.title | Fractional differencing in discrete time | |
| dc.type | Text |
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