A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is a long memory process of order <italic>d</italic>, the integrated variance is characterized by the same long-range dependence. We prove that the spectral density of realized variance is given by the sum...

In this article, we propose a novel Independent Factor Autoregressive Conditional Density (IFACD) model able to generate time-varying higher moments using an independent factor setup. Our proposed framework incorporates dynamic estimation of higher comovements and feasible portfolio...