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

  • Pérez, Ana
  • Ruiz, Esther
  • Veiga, Helena

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.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4VT0X00-2/2/c69c17ee5cb7119e4e527228949b9d8a
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 53 (2009)
Issue (Month): 10 (August)
Pages: 3593-3600

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Handle: RePEc:eee:csdana:v:53:y:2009:i:10:p:3593-3600
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  7. Harvey, Andrew C & Shephard, Neil, 1996. "Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 429-34, October.
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