Title

Long Run Covariance Matrices for Fractionally Integrated Processes

Document Type

Discussion Paper

Publication Date

6-1-2007

CFDP Number

1611

CFDP Pages

14

Abstract

An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0 < d < 1/2. The theory is then applied to deliver formulae for the long run covariance matrices of multivariate time series with long memory.

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