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

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorPérez, Ana
dc.contributor.authorRuiz Ortega, Esther
dc.contributor.authorLopes Moreira Da Veiga, María Helena
dc.date.accessioned2012-10-24T09:49:12Z
dc.date.available2012-10-24T09:49:12Z
dc.date.issued2009
dc.description.abstractThe 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.
dc.description.sponsorshipWe 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
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationComputational Statistics & Data Analysis, 2009, v. 53, n. 10, pp.3593-3600
dc.identifier.doi10.1016/j.csda.2009.02.026
dc.identifier.issn0167-9473
dc.identifier.publicationfirstpage3593
dc.identifier.publicationissue10
dc.identifier.publicationlastpage3600
dc.identifier.publicationtitleComputational Statistics & Data Analysis
dc.identifier.publicationvolume53
dc.identifier.urihttps://hdl.handle.net/10016/15747
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.csda.2009.02.026
dc.rights© Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaEstadística
dc.subject.otherVolatility models
dc.subject.otherAutocorrelation function
dc.titleA note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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