Publication: A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
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2009
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Elsevier
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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.
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Keywords
Volatility models, Autocorrelation function
Bibliographic citation
Computational Statistics & Data Analysis, 2009, v. 53, n. 10, pp.3593-3600