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Modelos De Memoria Larga Para Series Económicas Y Financieras

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  • Ana Pérez
  • Esther Ruiz

    ()

Abstract

En este trabajo se hace una revisión de los modelos de series temporales con memoria larga para la media y la varianza condicionada, con especial atención a los modelos ARMA fraccionalmente integrados (ARFIMA) y a los modelos GARCH y SV fraccionalmente integrados. Se estudian sus propiedades más importantes y se discute su aplicación en la modelización de series económicas y financieras. También se describen los principales métodos de estimación propuestos para estos modelos y se revisan algunos contrastes para detectar la presencia de memoria larga. Finalmente, se revisan los principales resultados sobre predicción de valores futuros de series temporales con memoria larga.

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Paper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Documentos de Trabajo de Estadística y Econometría with number ds010101.

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Date of creation: Jun 2001
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Handle: RePEc:cte:dsrepe:ds010101

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