Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; … - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 203-230
This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...
