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Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes

James Davidson () and Nigar Hashimzade

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper considers the asymptotic distribution of the covariance of a nonstationary frac- tionally integrated process with the stationary increments of another such process - possibly, itself. Questions of interest include the relationship between the harmonic representation of these random variables, which we have analysed in a previous paper, and the construction derived from moving average representations in the time domain. The limiting integrals are shown to be expressible in terms of functionals of Itô integrals with respect to two distinct Brownian motions. Their mean is nonetheless shown to match that of the harmonic rep- resentation, and they satisfy the required integration by parts rule. The advantages of our approach over the harmonic analysis include the facts that our formulae are valid for the full range of the long memory parameters, and extend to non-Gaussian processes.

Keywords: Stochastic integral; weak convergence; fractional Brownian motion (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2007-12-21
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Related works:
Journal Article: REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES (2009) Downloads
Working Paper: Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes (2008) Downloads
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