Analysis of the correlation structure of square time series

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dc.contributor.authorPalma, W
dc.contributor.authorZevallos, M
dc.date.accessioned2024-01-10T12:37:32Z
dc.date.available2024-01-10T12:37:32Z
dc.date.issued2004
dc.description.abstractThis paper analyses the asymptotic behaviour of the autocorrelation structure exhibited by squares of time series with a Wold expansion where the input error is a sequence of random variables with mean zero and finite kurtosis. Two important cases are discussed: (i) when the errors are independent and, (ii) when the errors are uncorrelated but their squares are correlated. Both situations are addressed when the process exhibits short or long memory. Consequences of these results on certain models widely used in many disciplines are also discussed.
dc.fechaingreso.objetodigital2024-05-09
dc.format.extent22 páginas
dc.fuente.origenWOS
dc.identifier.doi10.1111/j.1467-9892.2004.01797.x
dc.identifier.eissn1467-9892
dc.identifier.issn0143-9782
dc.identifier.urihttps://doi.org/10.1111/j.1467-9892.2004.01797.x
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/76868
dc.identifier.wosidWOS:000221974800006
dc.information.autorucMatemática;Palma W;S/I;100091
dc.issue.numero4
dc.language.isoen
dc.nota.accesocontenido parcial
dc.pagina.final550
dc.pagina.inicio529
dc.publisherWILEY
dc.revistaJOURNAL OF TIME SERIES ANALYSIS
dc.rightsacceso restringido
dc.subjectautocorrelation
dc.subjectconditional heteroskedasticity
dc.subjectlinear and non-linear time series
dc.subjectlong and short memory
dc.subjectLONG-MEMORY
dc.subjectCONDITIONAL HETEROSKEDASTICITY
dc.subjectMOMENT STRUCTURE
dc.subjectMODELS
dc.subjectAUTOCORRELATIONS
dc.subjectVARIANCE
dc.subjectRETURNS
dc.subjectARCH
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleAnalysis of the correlation structure of square time series
dc.typeartículo
dc.volumen25
sipa.codpersvinculados100091
sipa.indexWOS
sipa.indexScopus
sipa.trazabilidadCarga SIPA;09-01-2024
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