Li, Handong; Cao, Shi-Nan; Wang, Yan - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 16, pp. 3254-3259
Recent empirical literature documents the presence of long-term memory in return volatility. But the mechanism of the existence of long-term memory is still unclear. In this paper, we investigate the origin and properties of long-term memory with nonparametric volatility, using high-frequency...
