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Asai, Manabu ; Peiris, Shelton ; McAleer, Michael ; Allen, David E. | 2018-09Recent developments in econometric methods enable estimation and testing of general long memory process, which include the general Gegenbauer process. This paper considers the error correction model for a vector general long memory process, whic[...]texto impreso
Peiris, Shelton ; Asai, Manabu ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporati[...]texto impreso
Allen, David E. ; McAleer, Michael ; Peiris, Shelton ; Singh, Abhay K. | 2014-12This paper features an analysis of the e_ectiveness of a range of portfolio diversification strategies as applied to a set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund categories[...]texto impreso
Asai, Manabu ; McAleer, Michael ; Peiris, Shelton | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017In recent years fractionally differenced processes have received a great deal of attention due to their exibility in nancial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general G[...]
