Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: July 31, 2017
long memory stochastic volatility models has led to the fact that the actual degree of memory estimates has rarely been … realized volatility and the potential of spurious long memory. In this paper we provide a comprehensive analysis of the memory … rates is subject to spurious long memory and the true memory parameter is in the higher stationary range. Stock index …