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:	[2008]
Publisher:	[2008]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (15 p)
Series:	LSE STICERD Research Paper ; No. EM487
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2005 erstellt
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012771002