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Long Memory and Fractional Integration

In: Stochastic Processes and Calculus

Author

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  • Uwe Hassler

    (Goethe University Frankfurt)

Abstract

Below Proposition 3.5 we saw that the autocorrelation sequence of any stationary ARMA process dies out at exponential rate: | ρ(h) | ≤ c g h , see ( 3.14 ). This is too restrictive for many time series of stronger persistence, which display long memory in that the autocovariance sequence vanishes at a slower rate. In some fields of economics and finance long memory is treated as an empirical stylized fact.

Suggested Citation

  • Uwe Hassler, 2016. "Long Memory and Fractional Integration," Springer Texts in Business and Economics, in: Stochastic Processes and Calculus, edition 1, chapter 5, pages 103-126, Springer.
    • Handle: RePEc:spr:sptchp:978-3-319-23428-1_5
    DOI: 10.1007/978-3-319-23428-1_5
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