Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
CREATES Research Paper 2009-30
Long Memory and Tail dependence
in Trading Volume and Volatility
Eduardo Rossi … and Paolo Santucci de Magistris
Long Memory and Tail dependence in Trading
Volume and Volatility †
Eduardo Rossi … present a simulation exercise
to validate the model.
Keywords. Realized Volatility, Trading Volume, Fractional Cointegration …