How Can We Define The Concept of Long Memory? An Econometric Survey

In this paper we discuss different aspects of long mzmory behavior and specify what kinds of parametric models follow them. We discuss the confusion which can arise when empirical autocorrelation function of a short memory process decreases in an hyperbolic way.

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Year of publication:	2004-04-29
Authors:	Guégan D.
Institutions:	School of Economics and Finance, Business School
Subject:	Long-memory \| Switching \| Estimation theory \| Spectral

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Extent:	application/pdf
Series:	School of Economics and Finance Discussion Papers and Working Papers Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 178
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005766363