RT Journal Article
T1 A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
A1 Pérez, Ana
A1 Ruiz Ortega, Esther
A1 Lopes Moreira Da Veiga, María Helena
AB The autocorrelation function (acf) of powered absolute returns and their cross-correlationswith 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.
PB Elsevier
SN 0167-9473
YR 2009
FD 2009
LK https://hdl.handle.net/10016/15747
UL https://hdl.handle.net/10016/15747
LA eng
NO We acknowledge financial support from the Spanish Government, project SEJ2006-03919. The research of A. Pérezwas also supported by Junta de Castilla y León, projects VA092A08 and VA027A08. We are very grateful to the editorE. Kontoghiorghes and two anonymous referees for their comments
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RD 1 may. 2024