A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
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.
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 53 (2009)
Issue (Month): 10 (August)
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Other versions of this item:
- Pérez, Ana & Ruiz, Esther & Veiga, Helena, 2009. "A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/15747, Universidad Carlos III de Madrid.
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