Bertram, Philip; Kruse, Robinson; Sibbertsen, Philipp - In: Statistical Papers 54 (2013) 4, pp. 977-991
Long memory has been widely documented for realized financial market volatility. As a novelty, we consider daily realized asset correlations and we investigate whether the observed persistence is (i) due to true long memory (i.e. fractional integration) or (ii) artificially generated by some...