How can we Define the Concept of Long Memory? An Econometric Survey

In this paper we discuss different aspects of long memory behavior and applicable parametric models. We discuss the confusion that can arise when the empirical autocorrelation function decreases in a hyperbolic way.

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Year of publication:	2005
Authors:	Guegan, Dominique
Published in:	Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 24.2005, 2, p. 113-149
Publisher:	Taylor & Francis Journals
Subject:	Estimation theory \| Long memory \| Returns \| Spectral domain \| Switching

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009228489