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This paper shows that the properties of nonlinear transformations of a fractionally integrated process depend strongly on whether the initial series is stationary or not. Transforming a stationary Gaussian I(d) process with d 0 leads to a long-memory process with the same or a smaller...
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This paper shows that the properties of nonlinear transformations of a fractionally integrated process depend strongly on whether the initial series is stationary or not. Transforming a stationary Gaussian I(d) process with d 0 leads to a long-memory process with the same or a smaller...
Persistent link: https://www.econbiz.de/10014150565
A frequent property of data, particularly in the financial area, is that the correlogram is low but remains positive for many lags. A plausible explanation for this is that the process consists of a stationary, long memory component plus a white noise component of much larger variance. The...
Persistent link: https://www.econbiz.de/10014067472