Listagem FGV EPGE - Ensaios Econômicos por autor "Souza, Leonardo Rocha"
Itens para a visualização no momento 1-7 of 7
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The aliasing effect, the Fejer Kernel and temporally aggregated long memory processes
2003-01-01This 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 ... -
Convex combinations of long memory estimates from different sampling rates
2003-07-02Convex combinations of long memory estimates using the same data observed at different sampling rates can decrease the standard deviation of the estimates, at the cost of inducing a slight bias. The convex combination of ... -
Forecasting electricity demand using generalized long memory
2003-06-29This paper studies the electricity hourly load demand in the area covered by a utility situated in the southeast of Brazil. We propose a stochastic model which employs generalized long memory (by means of Gegenbauer ... -
Forecasting electricity load demand: analysis of the 2001 rationing period in Brazil
2003-07-31This paper studies the electricity load demand behavior during the 2001 rationing period, which was implemented because of the Brazilian energetic crisis. The hourly data refers to a utility situated in the southeast of ... -
A note on Chambers's 'long memory and aggregation in macroeconomic time series'
2003-10-07Chambers (1998) explores the interaction between long memory and aggregation. For continuous-time processes, he takes the aliasing effect into account when studying temporal aggregation. For discrete-time processes, however, ... -
Temporal aggregation and bandwidth selection in estimating long memory
2003-03-30This paper reinterprets results of Ohanissian et al (2003) to show the asymptotic equivalence of temporally aggregating series and using less bandwidth in estimating long memory by Geweke and Porter-Hudak’s (1983) estimator, ... -
Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data
2003-06-30Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ...
