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

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dc.contributor.author Pérez, Ana
dc.contributor.author Ruiz, Esther
dc.contributor.author Veiga, Helena
dc.date.accessioned 2012-10-24T09:49:12Z
dc.date.available 2012-10-24T09:49:12Z
dc.date.issued 2009
dc.identifier.bibliographicCitation Computational Statistics & Data Analysis, 2009, v. 53, n. 10, pp.3593-3600
dc.identifier.issn 0167-9473
dc.identifier.uri http://hdl.handle.net/10016/15747
dc.description.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.
dc.description.sponsorship 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
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Volatility models
dc.subject.other Autocorrelation function
dc.title A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.csda.2009.02.026
dc.subject.eciencia Estadística
dc.identifier.doi 10.1016/j.csda.2009.02.026
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 3593
dc.identifier.publicationissue 10
dc.identifier.publicationlastpage 3600
dc.identifier.publicationtitle Computational Statistics & Data Analysis
dc.identifier.publicationvolume 53
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