On the memory of products of long range dependent time series

This paper derives the memory of the product series xtyt, where xt and yt are stationary long memory time series of orders dx and dy, respectively. Special attention is paid to the case of squared series and products of series driven by a common stochastic factor. It is found that the memory of products of series with non-zero means is determined by the maximal memory of the factor series, whereas the memory is reduced if the series are mean zero.

MoreLess

Year of publication:	2016
Authors:	Leschinski, Christian
Publisher:	Hannover : Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Subject:	Long Memory \| Products of Time Series \| Squared Time Series \| Fractional Cointegration

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	Hannover Economic Papers (HEP) ; 569
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	847854809 [GVK] hdl:10419/129280 [Handle] RePEc:han:dpaper:dp-569 [RePEc]
Classification:	C22 - Time-Series Models ; C10 - Econometric and Statistical Methods: General. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10011439272