Search Results - subject:"Autocovariance function"

Moments structure of l 1-stochastic volatility models

Neto, David; Sardy, Sylvain - 2009

Persistent link: https://www.econbiz.de/10003926961

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008

May 2008 A commonly used defining property of long memory time series is the power law decay of the autocovariance … function. Some alternative methods of deriving this property are considered working from the alternate definition in terms of a …

Persistent link: https://www.econbiz.de/10005593519

Moments Structure of l1-Stochastic Volatility Models

Neto, David; Sardy, Sylvain - Institut d'Economie et Econométrie, Université de Genève - 2008

here the moments and autocovariance function of such l1-based stochastic volatility models. …

Persistent link: https://www.econbiz.de/10010616292

Long Run Covariance Matrices for Fractionally Integrated Processes

Phillips, Peter C.B.; Kim, Chang Sik - Cowles Foundation for Research in Economics, Yale University - 2007

An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0 < d < 1/2. The theory is then applied to deliver formulae for the long run covariance matrices of multivariate time series with long memory.

Persistent link: https://www.econbiz.de/10005463993