Rubia, Antonio; Ñíguez, Trino-Manuel - In: Journal of Forecasting 25 (2006) 6, pp. 439-458
Long-range persistence in volatility is widely modelled and forecast in terms of the so-called fractional integrated models. These models are mostly applied in the univariate framework, since the extension to the multivariate context of assets portfolios, while relevant, is not straightforward....