Li, Handong; Cao, Shi-Nan; Wang, Yan - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 16, pp. 3254-3259
Recent empirical literature documents the presence of long-term memory in return volatility. But the mechanism of the … existence of long-term memory is still unclear. In this paper, we investigate the origin and properties of long-term memory with …. RRV presents a relatively stable property on long-term memory and is less influenced by sampling frequency. RV and RBV …