Year: 2009
Type: article
Abstract: . A Bartlett‐type formula is proposed for the asymptotic distribution of the sample autocorrelations of nonlinear processes. The asymptotic covariances between sample autocorrelations are expressed as the sum of two terms. The first term corresponds to the standard Bartlett's formula for linear processes, involving only the autocorrelation function of the observed process. The second term, which is specific to nonlinear processes, involves the autocorrelation function of the observed process, the kurtosis of the linear innovation process and the autocorrelation function of its square. This formula is obtained under a symmetry assumption on the linear innovation process. It is illustrated on ARMA–GARCH models and compared to the standard formula. An empirical application on financial time series is proposed.
Source: Journal of Time Series Analysis
Authors: Christian Francq, Jean‐Michel Zakoïan
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W1540955934