@TechReport{dp-569,
  author        = {Leschinski, Christian},
  astring       = {Christian Leschinski},
  title         = {On the Memory of Products of Long Range Dependent Time
                  Series},
  month         = {February},
  year          = {2016},
  pages         = {10},
  number        = {569},
  language      = {en},
  keywords      = {Long Memory, Products of Time Series, Squared Time Series,
                  Fractional Cointegration},
  jelclass      = {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.}
}