Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/85158 
Year of Publication: 
2000
Series/Report no.: 
CoFE Discussion Paper No. 00/22
Publisher: 
University of Konstanz, Center of Finance and Econometrics (CoFE), Konstanz
Abstract: 
We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and antipersistence, within the framework of fractional autoregressive processes. Asymptotically, long memory and antipersistence are preserved whereas short memory components vanish. In the case of integrated processes, the results extend Tiao's [15] to the fractional case.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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