  Bollerslev et al. (2006) study the cross-covariances for squared returns
under the Heston (1993) stochastic volatility model. In order to obtain these
cross-covariances the authors use an incorrect expression for the distribution
of the squared returns. Here we will obtain the correct distribution of the
squared returns and check that, under this new distribution, the result in
Appendix A.2 in Bollerslev et al. (2006) still holds.
