Spectral properties of temporally aggregated long memory processes

Detalhes bibliográficos
Autor(a) principal: Souza, Leonardo Rocha
Data de Publicação: 2003
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/12619
Resumo: This paper derives the spectral density function of aggregated long memory processes in light of the aliasing effect. The results are different from previous analyses in the literature and a small simulation exercise provides evidence in our favour. The main result point to that flow aggregates from long memory processes shall be less biased than stock ones, although both retain the degree of long memory. This result is illustrated with the daily US Dollar/ French Franc exchange rate series.
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spelling Souza, Leonardo RochaEscolas::EPGEFGV2014-11-26T13:09:11Z2014-11-26T13:09:11Z2003-10-23http://hdl.handle.net/10438/12619This paper derives the spectral density function of aggregated long memory processes in light of the aliasing effect. The results are different from previous analyses in the literature and a small simulation exercise provides evidence in our favour. The main result point to that flow aggregates from long memory processes shall be less biased than stock ones, although both retain the degree of long memory. This result is illustrated with the daily US Dollar/ French Franc exchange rate series.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessLong memoryAliasingTemporal aggregationFejer KernelEconomiaEstatística matemáticaProcesso estocásticoSpectral properties of temporally aggregated long memory processesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL1456.pdf1456.pdfapplication/pdf203711https://repositorio.fgv.br/bitstreams/8399a78f-c2cd-4ae2-9525-02f99b6b2905/download3f7285d4be2cdc85b73c57295d268cecMD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv Spectral properties of temporally aggregated long memory processes
title Spectral properties of temporally aggregated long memory processes
spellingShingle Spectral properties of temporally aggregated long memory processes
Souza, Leonardo Rocha
Long memory
Aliasing
Temporal aggregation
Fejer Kernel
Economia
Estatística matemática
Processo estocástico
title_short Spectral properties of temporally aggregated long memory processes
title_full Spectral properties of temporally aggregated long memory processes
title_fullStr Spectral properties of temporally aggregated long memory processes
title_full_unstemmed Spectral properties of temporally aggregated long memory processes
title_sort Spectral properties of temporally aggregated long memory processes
author Souza, Leonardo Rocha
author_facet Souza, Leonardo Rocha
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Souza, Leonardo Rocha
dc.subject.eng.fl_str_mv Long memory
Aliasing
Temporal aggregation
topic Long memory
Aliasing
Temporal aggregation
Fejer Kernel
Economia
Estatística matemática
Processo estocástico
dc.subject.por.fl_str_mv Fejer Kernel
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Estatística matemática
Processo estocástico
description This paper derives the spectral density function of aggregated long memory processes in light of the aliasing effect. The results are different from previous analyses in the literature and a small simulation exercise provides evidence in our favour. The main result point to that flow aggregates from long memory processes shall be less biased than stock ones, although both retain the degree of long memory. This result is illustrated with the daily US Dollar/ French Franc exchange rate series.
publishDate 2003
dc.date.issued.fl_str_mv 2003-10-23
dc.date.accessioned.fl_str_mv 2014-11-26T13:09:11Z
dc.date.available.fl_str_mv 2014-11-26T13:09:11Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/12619
url http://hdl.handle.net/10438/12619
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Seminários de pesquisa econômica da EPGE
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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