Power, G. J.; Turvey, C. - In: Applied Economics 43 (2011) 24, pp. 3395-3404
Long memory in futures price volatility is a well-documented stylized fact with implications for market efficiency, risk management, forecasting and option pricing bias. The implications of long-memory differ, however, based on whether it is of a 'fractional' or of a 'stochastic' type. The aims...