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

Ana Pérez, Esther Ruiz () and Helena Veiga

Computational Statistics & Data Analysis, 2009, vol. 53, issue 10, 3593-3600

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.

Date: 2009
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