Baillie, Richard; Calonaci, Fabio; Cho, Dooyeon; Rho, … - 2019
The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV … have been attributed to jumps, structural breaks, non-linearities, or pure long memory. An important development has been … integrated long memory models, extended HAR models and time varying parameter HAR models. We find that the presence of the long …