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On the Memory of Products of Long Range Dependent Time Series

Autor: Christian Leschinski
Nummer: 569, Feb 2016, pp. 10
JEL-Class: C22, C10

Abstract:
This paper derives the memory of the product series $x_ty_t$, where $x_t$ and $y_t$ are stationary long memory time series of orders $d_x$ and $d_y$, respectively. Special attention is paid to the case of squared series and products of series driven by a common stochastic factor. It is found that the memory of products of series with non-zero means is determined by the maximal memory of the factor series, whereas the memory is reduced if the series are mean zero.

Zusammenfassung:
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