There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from...

The paper makes two contributions. First, we provide a formula for the exact distribution of the periodogram evaluated at any arbitrary frequency, when the sample is taken from any zero-mean stationary Gaussian process. The inadequacy of the asymptotic distribution is demonstrated through an...