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How can we define the concept of long memory ? An econometric survey

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  • Dominique Guegan

    ()
    (IDHE - Institutions et Dynamiques Historiques de l'Economie - CNRS : UMR8533 - Université Panthéon-Sorbonne - Paris I - Université Paris VIII Vincennes-Saint Denis - Université de Paris X - Nanterre - École normale supérieure de Cachan - ENS Cachan)

Abstract

In this paper we discuss different aspects of long memory behaviorand applicable parametric models. We discuss the confusion thatcan arise when the empirical autocorrelation function decreasesin an hyperbolic way.

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File URL: http://halshs.archives-ouvertes.fr/docs/00/17/93/43/PDF/guegan_econometricreviews.pdf
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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00179343.

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Date of creation: 2005
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Publication status: Published, : Econometric Reviews,, 2005, 24, 2, 113 - 149
Handle: RePEc:hal:journl:halshs-00179343

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Keywords: Long-memory - Switching - Estimationtheory - Spectral domain - Returns.;

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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. Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, School of Economics and Management, University of Aarhus.
  3. Bisaglia, Luisa & Gerolimetto, Margherita, 2008. "Forecasting long memory time series when occasional breaks occur," Economics Letters, Elsevier, vol. 98(3), pages 253-258, March.
  4. Dominique Guegan, 2009. "Chaos in Economics and Finance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00375713, HAL.
  5. 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.
  6. Thornton, Michael A., 2014. "The aggregation of dynamic relationships caused by incomplete information," Journal of Econometrics, Elsevier, vol. 178(P2), pages 342-351.
  7. 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.
  8. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

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