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Spectral properties of temporally aggregated long memory processes

By Leonardo R. Souza

Abstract

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

Topics: Temporal Aggregation, Long Memory, Aliasing, Fejer Kernel, Processo estocástico Estatística matemática
Publisher: Escola de Pós-Graduação em Economia da FGV
Year: 2003
OAI identifier: oai:agregador.ibict.br.RI_FGV:oai:bibliotecadigital.fgv.br:10438/12619
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