Modelling Memory of Economic and Financial Time Series
Much time series data are recorded on economic and financial variables. Statistical modelling of such data is now very well developed, and has applications in forecasting. We review a variety of statistical models from the viewpoint of 'memory', or strength of dependence across time, which is a helpful discriminator between different phenomena of interest. Both linear and nonlinear models are discussed.
|Date of creation:||Mar 2005|
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"The Memory of Stochastic Volatility Models,"
STICERD - Econometrics Paper Series
/2001/410, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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