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On the memory of products of long range dependent time series

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  • Leschinski, Christian

Abstract

This paper derives the memory of the product series xtyt, where xt and yt are stationary long memory time series of orders dx and dy, respectively. Special attention is paid to the case of squared series and products of series driven by a common stochastic factor. It is found that the memory of products of series with non-zero means is determined by the maximal memory of the factor series, whereas the memory is reduced if the series are mean zero.

Suggested Citation

  • Leschinski, Christian, 2017. "On the memory of products of long range dependent time series," Economics Letters, Elsevier, vol. 153(C), pages 72-76.
    • Handle: RePEc:eee:ecolet:v:153:y:2017:i:c:p:72-76
    DOI: 10.1016/j.econlet.2017.01.025
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    Cited by:

    1. Jannik Kreye & Philipp Sibbertsen, 2024. "Testing for a Forecast Accuracy Breakdown under Long Memory," Papers 2409.07087, arXiv.org.
    2. Kruse, Robinson & Leschinski, Christian & Will, Michael, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," Hannover Economic Papers (HEP) dp-571, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

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    More about this item

    Keywords

    Long memory; Products of time series; Squared time series; Fractional cointegration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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