MODELING MEMORY OF ECONOMIC AND FINANCIAL TIME SERIES

Much time series data are recorded on economic and financial variables. Statistical modeling of such data is now very well developed, and has applications in forecasting. We review a variety of statistical models from the viewpoint of "memory", or strength of dependence across time, which is a helpful discriminator between different phenomena of interest. Both linear and nonlinear models are discussed.

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Year of publication:	2005
Authors:	ROBINSON, PETER M.
Published in:	The Singapore Economic Review (SER). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6837. - Vol. 50.2005, 01, p. 1-8
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Time series model \| short memory \| long memory \| stochastic volatility

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

Persistent link: https://www.econbiz.de/10005080701