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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 - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Panthéon-Sorbonne - UP8 - Université Paris 8, Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

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.

Suggested Citation

  • Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343, HAL.
  • Handle: RePEc:hal:journl:halshs-00179343
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00179343
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Diongue, Abdou Kâ & Guégan, Dominique & Vignal, Bertrand, 2009. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Applied Energy, Elsevier, vol. 86(4), pages 505-510, April.
    2. 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.
    3. Dominique Guégan, 2007. "Chaos in economics and finance," Documents de travail du Centre d'Economie de la Sorbonne b07054, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2009.
    4. 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.
    5. Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, Department of Economics and Business Economics, Aarhus University.
    6. Diongue, Abdou Kâ & Guégan, Dominique, 2007. "The stationary seasonal hyperbolic asymmetric power ARCH model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1158-1164, June.
    7. Bisaglia, Luisa & Gerolimetto, Margherita, 2008. "Forecasting long memory time series when occasional breaks occur," Economics Letters, Elsevier, vol. 98(3), pages 253-258, March.
    8. Thornton, Michael A., 2014. "The aggregation of dynamic relationships caused by incomplete information," Journal of Econometrics, Elsevier, vol. 178(P2), pages 342-351.

    More about this item

    Keywords

    Returns; Returns.; Spectral domain; Switching; Estimation theory; Long-memory;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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