Spectral properties of temporally aggregated long memory processes
Autor(a) principal: | |
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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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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) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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