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Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and antipersistence, within the framework of fractional autoregressive processes. Asymptotically, long memory and antipersistence are preserved whereas short memory components vanish. In the case of integrated processes, the results extend Tiao's [15] to the fractional case.
Year of publication:
2000-08
Authors: Beran, Jan ; Ocker, Dirk
Institutions: Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: Italian
Notes:
Number 00-22 16 pages longPages
Source:
Persistent link: https://www.econbiz.de/10005357884
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