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Fractional differencing in discrete time

dc.contributor.authorElder, John, author
dc.contributor.authorElliott, Robert J., author
dc.contributor.authorMiao, Hong, author
dc.contributor.authorQuantitative Finance, publisher
dc.date.accessioned2020-05-18T22:28:10Z
dc.date.available2020-05-18T22:28:10Z
dc.date.issued2011-07-23
dc.descriptionIncludes bibliographical references (pages 18-21).
dc.descriptionPublished as: Quantitative Finance, vol.13, no. 32, pp.195-204, February 2013, https://doi.org/10.1080/14697688.2012.676207.
dc.description.abstractThis 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.mediumborn digital
dc.format.mediumarticles
dc.identifier.bibliographicCitationElder, 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.urihttps://hdl.handle.net/10217/206895
dc.languageEnglish
dc.language.isoeng
dc.publisherColorado State University. Libraries
dc.relation.ispartofFaculty Publications
dc.rights©2013 Informa UK Limited. Author can archive pre-print and post-print.
dc.rightsCopyright 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.subjectfractional difference
dc.subjectdiscrete time
dc.subjectmetal futures
dc.subjectlong memory
dc.titleFractional differencing in discrete time
dc.typeText

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