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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/15747
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| Title: | A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect |
| Author(s): | Pérez, Ana
Ruiz, Esther [ortega]
Veiga, Helena |
| Publisher: | Elsevier |
| Issued date: | 2009 |
| Citation: | Computational Statistics & Data Analysis, 2009, v. 53, n. 10, pp.3593-3600 |
| URI: | http://hdl.handle.net/10016/15747 |
| ISSN: | 0167-9473 |
| DOI: | 10.1016/j.csda.2009.02.026 |
| Abstract: | 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. |
| Sponsor: | We acknowledge financial support from the Spanish Government, project SEJ2006-03919. The research of A. Pérez was also supported by Junta de Castilla y León, projects VA092A08 and VA027A08. We are very grateful to the editor E. Kontoghiorghes and two anonymous referees for their comments |
| Publisher version: | http://dx.doi.org/10.1016/j.csda.2009.02.026 |
| Keywords: | Volatility models
Autocorrelation function |
| Rights: | © Elsevier |
| Appears in Collections: | Economists Online
DES - Artículos de Revistas
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