A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
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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Volume (Year): 53 (2009)
Issue (Month): 10 (August)
Pages: 3593-3600
| 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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