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Aggregation of the generalized fractional processes

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  • Sun, Jingwei
  • Shi, Wendong

Abstract

The paper studies the interaction between aggregation and persistence pertaining to skip sampling of stock variables as well as temporal aggregation of flow variables for the generalized fractional processes. We show that, for skip sampling, the long memory feature at the zero frequency can arise from the aggregation of a generalized fractional series, while temporal aggregation does not induce such phenomenon. Simulation results are included to demonstrate the practical relevance of the theoretical results.

Suggested Citation

  • Sun, Jingwei & Shi, Wendong, 2014. "Aggregation of the generalized fractional processes," Economics Letters, Elsevier, vol. 124(2), pages 258-262.
    • Handle: RePEc:eee:ecolet:v:124:y:2014:i:2:p:258-262
    DOI: 10.1016/j.econlet.2014.05.026
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    References listed on IDEAS

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    Cited by:

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    2. Shi, Wendong & Sun, Jingwei, 2016. "Aggregation and long-memory: An analysis based on the discrete Fourier transform," Economic Modelling, Elsevier, vol. 53(C), pages 470-476.

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    More about this item

    Keywords

    Aggregation; Long memory; Frequency domain; Generalized fractional processes;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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