Modelling Memory of Economic and Financial Time Series

Much time series data are recorded on economic and financial variables. Statistical modelling 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:	2005-03
Authors:	Robinson, Peter M
Institutions:	Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Subject:	Long memory \| short memory \| stochastic volatility

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Extent:	application/pdf
Series:	STICERD - Econometrics Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005151143