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The correlogram of a long memory process plus a simple noise

Francesc Marmol and Clive Granger

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: A frequent property of data, particularly in the financial area, is that the correlogram is low but remains positive for many lags. A plausible explanation for this is that the process consists of a stationary, long memory component plus a white noise component of much larger variance. The implications of such a composition are explored including the consequences for estimation of the long memory parameter.

Keywords: Long-memory; Correlogram; Financial; series (search for similar items in EconPapers)
Date: 1998-02
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