On the memory of products of long range dependent time series

C-Tier
Journal: Economics Letters
Year: 2017
Volume: 153
Issue: C
Pages: 72-76

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper derives the memory of the product series xtyt, where xt and yt are stationary long memory time series of orders dx and dy, respectively. Special attention is paid to the case of squared series and products of series driven by a common stochastic factor. It is found that the memory of products of series with non-zero means is determined by the maximal memory of the factor series, whereas the memory is reduced if the series are mean zero.

Technical Details

RePEc Handle
repec:eee:ecolet:v:153:y:2017:i:c:p:72-76
Journal Field
General
Author Count
1
Added to Database
2026-01-25