Chen, Ying; Härdle, Wolfgang; Pigorsch, Uta - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
With the recent availability of high-frequency nancial data the longrange dependence of volatility regained researchers' interest and has leadto the consideration of long memory models for realized volatility. Thelong range diagnosis of volatility, however, is usually stated for long...