Short communication: A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect

Authors:
Ana Pérez;Esther Ruiz;Helena Veiga
Affiliations:
Dpto. Economía Aplicada (Estadística y Econometría), Universidad de Valladolid, Spain;Dpto. Estadística, Universidad Carlos III de Madrid, Spain;Dpto. Estadística, Universidad Carlos III de Madrid, Spain
Venue:
Computational Statistics & Data Analysis
Year:
2009

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Abstract

The autocorrelation function (acf) of powered absolute returns and their cross-correlations with original returns are derived, for any value of the power parameter, in the context of long-memory stochastic volatility models with leverage effect and Gaussian noises. These autocorrelations and cross-correlations generalize and correct recent results on the acf of squared and absolute returns.