A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect

被引：6

作者：

Perez, Ana ^{[2
]}

Ruiz, Esther ^{[1
]}

Veiga, Helena ^{[1
]}

机构：

[1] Univ Carlos III Madrid, Dept Stat, E-28903 Getafe, Spain

[2] Univ Valladolid, Dpto Econ Aplicada Estadist & Econometria, E-47002 Valladolid, Spain

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2009年 / 53卷 / 10期

关键词：

Stochastic models - Stochastic systems - Economic analysis - Gaussian noise (electronic);

D O I：

10.1016/j.csda.2009.02.026

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

The autocorrelation function (acf) of powered absolute returns and their cross-correlations with original returns are derived, for any value of the power parameter, in the context of long-memory stochastic volatility models with leverage effect and Gaussian noises. These autocorrelations and cross-correlations generalize and correct recent results on the acf of squared and absolute returns. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：3593 / 3600

页数：8

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