Serrano, Antonio Rubia; Ñíguez, Trino-Manuel - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2003
Long-range persistence in volatility is widely modelled and forecasted in terms of the so-called fractional integrated models. These models are mostly applied in the univariate framework, since the extension to the multivariate context of assets portfolios, while relevant, is not...