Long memory in an oil market: a spectral approach
AbstractIn the paper, we propose a spectral approach to estimation of the long-memory effect in time series and its practical application for oil prices analysis. (in Russian)
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Bibliographic InfoPaper provided by European University at St. Petersburg, Department of Economics in its series EUSP Deparment of Economics Working Paper Series with number Ec-01/11.
Length: 40 pages
Date of creation: 01 Jan 2011
Date of revision: 13 Jan 2011
econometrics; long memory; oil price;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- O13 - Economic Development, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-23 (All new papers)
- NEP-ECM-2011-01-23 (Econometrics)
- NEP-ENE-2011-01-23 (Energy Economics)
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