relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious … specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …

With the recent availability of high-frequency Financial data the long range dependence of volatility regained … researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of … volatility, however, is usually stated for long sample periods, while for small sample sizes, such as e.g. one year, the …