Refined Inference on Long Memory in Realized Volatility

48 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Realized Volatility: A Review (2008, background): “More recently, Lieberman and Phillips (2006) provide some analytical explanations to explain the long range dependence behaviour that has been observed in realized volatilities.”
Fractional Neuro-Sequential ARFIMA-LSTM for Financial Market Forecasting (2020, methodology): “The ARIMA and neural network hybrid models were discussed in Peter Zhang’s literature [15].”