Modelling Memory of Economic and Financial Time Series

Peter M Robinson

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: 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.

Keywords: Long memory; short memory; stochastic volatility (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2005-03
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:487

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