 Aggregation and long-memory: An analysis based on the discrete Fourier transformWendong Shi and Jingwei Sun Economic Modelling, 2016, vol. 53, issue C, 470-476 Abstract: Datasets constructed via temporal aggregation or skip sampling are widely used by empirical studies in economics and finance, which leads to substantive discussion and debates on the effects of temporal aggregation and choice of sampling frequency. This paper studies a key feature of data aggregation by deriving the representation of the discrete Fourier transform (dft) of the aggregated series considering the aliasing effect. Analyses are not limited to the spectrum of the stationary series under aggregation, but extended to the periodogram of the non-stationary series. We further apply our results of the dft to a particular example of fractional processes under aggregation. We show that the estimates of the long-memory parameter are the same for the temporally aggregated series and the original one if the same bandwidths are used, regardless of the stationarity of the series. The theoretical findings are empirically verified by the analysis of S&P 500 volatility from 1928 to 2011. Keywords: Temporal aggregation; Skip sampling; Discrete Fourier transform (dft); Periodogram (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:53:y:2016:i:c:p:470-476 DOI: 10.1016/j.econmod.2015.10.045 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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