摘要：This pap er derives the memory of the product series x t y t , where x t and y t are stationary long memory time series of orders d x and d y , respectively. Special attention is paid to the case of squared series and pro ducts of series driven by a common stochastic factor. It is found that the memory of pro ducts of series with non-zero means is determined by the maximal memory of the factor series, whereas the memory is reduced if the series are mean zero
关键词：Long Memory ; · ; Products of Time Series ; · ; Squared Time Series ; · ; Fractional Cointegration
