Aggregation of the generalized fractional processes

Jingwei Sun and Wendong Shi

Economics Letters, 2014, vol. 124, issue 2, 258-262

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.

Keywords: Aggregation; Long memory; Frequency domain; Generalized fractional processes (search for similar items in EconPapers)
JEL-codes: C1 C15 C5 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:124:y:2014:i:2:p:258-262

DOI: 10.1016/j.econlet.2014.05.026

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