Pérez, Ana; Ruiz, Esther - In: Journal of Financial Econometrics 1 (2003) 3, pp. 420-444
The autocorrelations of log-squared, squared, and absolute financial returns are often used to infer the dynamic properties of the underlying volatility. This article shows that, in the context of long-memory stochastic volatility models, these autocorrelations are smaller than the...