Memory in Returns and Volatilities of Futures' Contracts
Nuno Crato, Bonnie Ray
Journal of Futures Markets, vol. 20, 2000, p. 525-543.

The Detection and Estimation of Long Memory in Stochastic Volatility
Jay Breidt, Nuno Crato, Pedro Lima
Journal of Econometrics, vol. 83, 1998, p. 325-348.