Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/129280
Authors: 
Leschinski, Christian
Year of Publication: 
2016
Series/Report no.: 
Discussion Paper, Wirtschaftswissenschaftliche Fakultät, Leibniz University of Hannover 569
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.
Subjects: 
Long Memory
Products of Time Series
Squared Time Series
Fractional Cointegration
JEL: 
C22
C10
Document Type: 
Working Paper

Files in This Item:
File
Size
280.82 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.