Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: July 31, 2017
long memory stochastic volatility models has led to the fact that the actual degree of memory estimates has rarely been … moment of the return distribution. Inference on the memory order is complicated by the presence of measurement error in … realized volatility and the potential of spurious long memory. In this paper we provide a comprehensive analysis of the memory …