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How Can We Define The Concept of Long Memory? An Econometric Survey

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Author Info
Guégan D.

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Abstract

In this paper we discuss different aspects of long mzmory behavior and specify what kinds of parametric models follow them. We discuss the confusion which can arise when empirical autocorrelation function of a short memory process decreases in an hyperbolic way.

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File URL: http://www.bus.qut.edu.au/faculty/schools/economics/documents/discussionPapers/2004/DP%20No.%20178%20-%20Guegan%20-%20No%20Cover%20or%20List%20of%20DP.pdf
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Publisher Info
Paper provided by School of Economics and Finance, Queensland University of Technology in its series School of Economics and Finance Discussion Papers and Working Papers Series with number 178.

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Date of creation: 29 Apr 2004
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Handle: RePEc:qut:dpaper:178

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Related research
Keywords: Long-memory; Switching; Estimation theory; Spectral;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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  1. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July. [Downloadable!] (restricted)
    Other versions:
  2. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423. [Downloadable!] (restricted)
  3. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April. [Downloadable!] (restricted)
  4. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA. [Downloadable!]
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  5. Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003. "Time-Varying Smooth Transition Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 104-21, January.
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  6. Crato, Nuno & de Lima, Pedro J. F., 1994. "Long-range dependence in the conditional variance of stock returns," Economics Letters, Elsevier, vol. 45(3), pages 281-285. [Downloadable!] (restricted)
  7. Francq, C. & Zakoian, J. -M., 2001. "Stationarity of multivariate Markov-switching ARMA models," Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June. [Downloadable!] (restricted)
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  8. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September. [Downloadable!] (restricted)
  9. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(01), pages 3-22, February. [Downloadable!]
  10. Cyril Caillault & Dominique Guégan, 2005. "Empirical estimation of tail dependence using copulas: application to Asian markets," Quantitative Finance, Taylor and Francis Journals, vol. 5(5), pages 489-501, October. [Downloadable!] (restricted)
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  11. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De. [Downloadable!] (restricted)
  12. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  13. Kim, Dongcheol & Kon, Stanley J., 1999. "Structural change and time dependence in models of stock returns," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 283-308, September. [Downloadable!] (restricted)
  14. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September. [Downloadable!] (restricted)
  15. Jerome J Collet & Dominique Guegan, 2004. "Another Characterization of Long Memory Behavior," Econometric Society 2004 Australasian Meetings 359, Econometric Society.
  16. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. [Downloadable!] (restricted)
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  17. Smith, Aaron, 2005. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 321-335, July. [Downloadable!] (restricted)
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  18. Ferrara, Laurent & Guegan, Dominique, 2001. "Forecasting with k-Factor Gegenbauer Processes: Theory and Applications," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(8), pages 581-601, December.
  19. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348. [Downloadable!] (restricted)
  20. Avouyi-Dovi, S. & Guégan, D. & Ladoucette, S., 2002. "Une mesure de la persistance dans les indices boursiers," Documents de Travail 94, Banque de France. [Downloadable!]
  21. Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652, Cowles Foundation, Yale University. [Downloadable!]
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  22. Balke, Nathan S. & Fomby, Thomas B., 1991. "Shifting trends, segmented trends, and infrequent permanent shocks," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 61-85, August. [Downloadable!] (restricted)
  23. Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996. "Nonlinear interest rate dynamics and implications for the term structure," Journal of Econometrics, Elsevier, vol. 74(1), pages 149-176, September. [Downloadable!] (restricted)
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  24. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November. [Downloadable!] (restricted)
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Dominique Guegan, 2009. "Chaos in Economics and Finance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00375713_v1, HAL. [Downloadable!]
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  2. 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_v1, HAL. [Downloadable!]
    Other versions:
  3. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-410, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
  4. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00375765_v1, HAL. [Downloadable!]
    Other versions:
  5. Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, School of Economics and Management, University of Aarhus. [Downloadable!]
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