Department of Economics and Business Economics
Aarhus University
Fuglesangs Allé 4
DK-8210 Aarhus V
Denmark
Email: oekonomi@au.dk
Tel: +45 8716 5515
Comparing Predictive Accuracy under Long Memory - With
an Application to Volatility Forecasting
Robinson Kruse, Christian Leschinski and Michael Will
CREATES Research Paper 2016-17