Aggregation of the generalized fractional processes |
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Authors: | Jingwei Sun Wendong Shi |
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Affiliation: | 1. School of Economics, Central University of Finance and Economics, 39 South College Road, Beijing 100081, PR China;2. School of Economics, Renmin University of China, 59 Zhongguancun Street, Beijing 100872, PR China |
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Abstract: | The paper studies the interaction between aggregation and persistence pertaining to skip sampling of stock variables as well as temporal aggregation of flow variables for the generalized fractional processes. We show that, for skip sampling, the long memory feature at the zero frequency can arise from the aggregation of a generalized fractional series, while temporal aggregation does not induce such phenomenon. Simulation results are included to demonstrate the practical relevance of the theoretical results. |
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Keywords: | C1 C5 C15 |
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