Lieberman, Offer; Phillips, Peter - In: Econometric Reviews 27 (2008) 1-3, pp. 254-267
There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from...