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

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.

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Year of publication:	2009
Authors:	Pérez, Ana ; Ruiz, Esther ; Veiga, Helena
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 53.2009, 10, p. 3593-3600
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005005957