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Modeling Memory Of Economic And Financial Time Series

Author

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  • PETER M. ROBINSON

    (London School of Economics, UK)

Abstract

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.

Suggested Citation

  • Peter M. Robinson, 2005. "Modeling Memory Of Economic And Financial Time Series," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 50(01), pages 1-8.
    • Handle: RePEc:wsi:serxxx:v:50:y:2005:i:01:n:s0217590805001809
    DOI: 10.1142/S0217590805001809
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    Cited by:

    1. Prakash Ranjan, Ravi & Bhattachharyya, Malay, 2018. "Does investor attention to energy stocks exhibit power law?," Energy Economics, Elsevier, vol. 75(C), pages 573-582.

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