Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Title "The aliasing effect, the Fejer Kernel and temporally aggregated long memory processes"

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The aliasing effect, the Fejer Kernel and temporally aggregated long memory processes

Souza, Leonardo Rocha
2003-01-01

This 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 ...