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

Pérez, AnaRuiz Ortega, EstherLopes Moreira Da Veiga, María Helena2012-10-242012-10-242009Computational Statistics & Data Analysis, 2009, v. 53, n. 10, pp.3593-36000167-9473https://hdl.handle.net/10016/15747The 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.application/pdfeng© ElsevierVolatility modelsAutocorrelation functionA note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effectresearch articleEstadística10.1016/j.csda.2009.02.026open access3593103600Computational Statistics & Data Analysis53