Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Title "Spectral properties of temporally aggregated long memory processes"
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Spectral properties of temporally aggregated long memory processes
2003-10-23This paper derives the spectral density function of aggregated long memory processes in light of the aliasing effect. The results are different from previous analyses in the literature and a small simulation exercise ...


