Essec\Faculty\Model\Contribution {#2233
  #_index: "academ_contributions"
  #_id: "6878"
  #_source: array:26 [
    "id" => "6878"
    "slug" => "persistence-through-correlation"
    "yearMonth" => "2014-09"
    "year" => "2014"
    "title" => "Persistence Through Correlation"
    "description" => "CHEVILLON, G., HECQ, A. et LAURENT, S. (2014). Persistence Through Correlation. Dans: 15th OxMetrics User Conference."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "CHEVILLON Guillaume"
        "bid" => "B00072304"
        "slug" => "chevillon-guillaume"
      ]
      1 => array:1 [
        "name" => "HECQ A."
      ]
      2 => array:1 [
        "name" => "LAURENT Sebastien"
      ]
    ]
    "ouvrage" => "15th OxMetrics User Conference"
    "keywords" => []
    "updatedAt" => "2021-04-19 17:57:25"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Communications dans une conférence"
      "en" => "Presentations at an Academic or Professional conference"
    ]
    "support_type" => array:2 [
      "fr" => null
      "en" => null
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "This paper analyzes a novel source of long memory though multicollinearity. We consider a vector autoregression of order one, a VAR(1) of large dimension. We use a final equation representation to show that as the VAR dimension tends to infinity while the proportion of stochastic trends remains constant, individual variables may exhibit strong persistence akin to fractional integration whose degree corresponds to the fraction of unit roots in the system. We consider the implications of our findings for the volatility of asset returns where the so- called golden-rule of realized volatility states that they always exhibit fractional integration of degree close to 0.4. Hence, this empirical feature can be related to the correlation of the many financial assets."
      "en" => "This paper analyzes a novel source of long memory though multicollinearity. We consider a vector autoregression of order one, a VAR(1) of large dimension. We use a final equation representation to show that as the VAR dimension tends to infinity while the proportion of stochastic trends remains constant, individual variables may exhibit strong persistence akin to fractional integration whose degree corresponds to the fraction of unit roots in the system. We consider the implications of our findings for the volatility of asset returns where the so- called golden-rule of realized volatility states that they always exhibit fractional integration of degree close to 0.4. Hence, this empirical feature can be related to the correlation of the many financial assets."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d'Information, Data Analytics et Opérations"
      "en" => "Information Systems, Data Analytics and Operations"
    ]
    "indexedAt" => "2024-12-21T15:21:45.000Z"
    "docTitle" => "Persistence Through Correlation"
    "docSurtitle" => "Communications dans une conférence"
    "authorNames" => "<a href="/cv/chevillon-guillaume">CHEVILLON Guillaume</a>, HECQ A., LAURENT Sebastien"
    "docDescription" => "<span class="document-property-authors">CHEVILLON Guillaume, HECQ A., LAURENT Sebastien</span><br><span class="document-property-authors_fields">Systèmes d'Information, Data Analytics et Opérations</span> | <span class="document-property-year">2014</span>"
    "keywordList" => ""
    "docPreview" => "<b>Persistence Through Correlation</b><br><span>2014-09 | Communications dans une conférence </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Persistence Through Correlation</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 8.83707
  +"parent": null
}