64,773 research outputs found
Properties of the sample autocorrelations of non-linear transformations in long memory stochastic volatility models
The autocorrelations of log-squared, squared, and absolute financial returns are often used to infer the dynamic properties of the underlying volatility. This article shows that, in the context of long-memory stochastic volatility models, these autocorrelations are smaller than the autocorrelations of the log volatility and so is the rate of decay for squared and absolute returns. Furthermore, the corresponding sample autocorrelations could have severe negative biases, making the identification of conditional heteroscedasticity and long memory a difficult task. Finally, we show that the power of some popular tests for homoscedasticity is larger when they are applied to absolute returns.Publicad
Frames of subspaces and operators
We study the relationship between operators, orthonormal basis of subspaces
and frames of subspaces (also called fusion frames) for a separable Hilbert
space . We get sufficient conditions on an orthonormal basis of
subspaces of a Hilbert space
and a surjective in order that
is a frame of subspaces with respect to a computable
sequence of weights. We also obtain generalizations of results in [J. A.
Antezana, G. Corach, M. Ruiz and D. Stojanoff, Oblique projections and frames.
Proc. Amer. Math. Soc. 134 (2006), 1031-1037], which related frames of
subspaces (including the computation of their weights) and oblique projections.
The notion of refinament of a fusion frame is defined and used to obtain
results about the excess of such frames. We study the set of admissible weights
for a generating sequence of subspaces. Several examples are given.Comment: 21 pages, LaTeX; added references and comments about fusion frame
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