Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
framework that allows for – without imposing – fractional integration and/or cointegration
between the market variance and … complete error-correction model, as in Horvath and Watson (1995). We proceed in
analogous fashion, examining the integration … status (generalized to allow for fractional integration) of the
realized market variance, realized individual equity …