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
Institutions:	London School of Economics (LSE)
Subject:	Long memory \| short memory \| stochastic volatility

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Econometrics; EM/2005/487, EM/05/487 13 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010928635