Modelling Memory of Economic and Financial Time Series
AbstractMuch 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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Bibliographic InfoPaper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2005/487.
Date of creation: Mar 2005
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Long memory; short memory; stochastic volatility;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-02-26 (All new papers)
- NEP-ECM-2006-02-26 (Econometrics)
- NEP-ETS-2006-02-26 (Econometric Time Series)
- NEP-FMK-2006-02-26 (Financial Markets)
- NEP-FOR-2006-02-26 (Forecasting)
- NEP-RMG-2006-02-26 (Risk Management)
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