Refined Inference on Long Memory in Realized Volatility
There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from the...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2008
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/363 https://ink.library.smu.edu.sg/context/soe_research/article/1362/viewcontent/Refined_Inference_on_Long_Memory_in_Realized_Volatility.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
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