TEYSSIERE, Gilles - Center for Operations Research and Econometrics (CORE), … - 2003
time series: nonlinearities i levels and common degree of long-memory in the volatilities and co-volatilities of …. Thus, the observed long-memory in asset prices volatility might be the outcome of a change-point in the conditional … share only the properties of the second moments of long-memory processes, but not the properties of the first moments. …