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How can we Define the Concept of Long Memory? An Econometric Survey

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  • Dominique Guegan

Abstract

In this paper we discuss different aspects of long memory behavior and applicable parametric models. We discuss the confusion that can arise when the empirical autocorrelation function decreases in a hyperbolic way.

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File URL: http://www.tandfonline.com/doi/abs/10.1081/ETC-200067887
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 24 (2005)
Issue (Month): 2 ()
Pages: 113-149

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Handle: RePEc:taf:emetrv:v:24:y:2005:i:2:p:113-149

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Related research

Keywords: Estimation theory; Long memory; Returns; Spectral domain; Switching;

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References

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Citations

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Cited by:
  1. Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2009. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00307606, HAL.
  2. Thornton, Michael A., 2014. "The aggregation of dynamic relationships caused by incomplete information," Journal of Econometrics, Elsevier, vol. 178(P2), pages 342-351.
  3. Cyril Caillault, Dominique Guégan, 2009. "Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy," Frontiers in Finance and Economics, SKEMA Business School, vol. 6(1), pages 26-50, April.
  4. Bisaglia, Luisa & Gerolimetto, Margherita, 2008. "Forecasting long memory time series when occasional breaks occur," Economics Letters, Elsevier, vol. 98(3), pages 253-258, March.
  5. Dominique Guegan, 2009. "Chaos in Economics and Finance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00375713, HAL.
  6. Abdou Kâ Diongue & Dominique Guegan, 2007. "The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179275, HAL.
  7. Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, School of Economics and Management, University of Aarhus.
  8. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

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