Luciani, Matteo; Veredas, David - 2012
Realized volatilities, when observed over time, share the following stylised facts: comovements, clustering, long-memory … following fi ndings: i) All the volatilities have long-memory, more than half in the nonstationary range, that increases during … factor has larger long-memory than the assets volatilities, suggesting that long–memory is a market characteristic. iv) The …