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

Leonardo Souza

No 470, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

Abstract: 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 provides evidence in our favour. The main result point to that flow aggregates from long memory processes shall be less biased than stock ones, although both retain the degree of long memory. This result is illustrated with the daily US Dollar/ French Franc exchange rate series.

Date: 2003-01-01
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgewp:470

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