Modelos de memoria larga para series económicas y financieras

Ana Pérez and Esther Ruiz ()
Additional contact information
Ana Pérez: Universidad de Valladolid, https://www.uva.es

Investigaciones Economicas, 2002, vol. 26, issue 3, 395-445

Abstract: This paper provides a review of time series models with long memory in the mean and conditional variance, with special attention to Fractionally Integrated ARMA processes (ARFIMA) and fractionally integrated GARCH and SV processes. Their more important properties are reviewed and its application to model economic and .nancial time series is discussed. The main estimation methods and tests proposed in the literature for the long memory property are also reviewed. Finally, this paper reviews the main results on prediction of future values of long memory time series.

Keywords: Fractional integration; persistency; frequency domain; spectral density; volatility (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.fundacionsepi.es/investigacion/revista ... mber2002/v26i3a1.pdf Full text (application/pdf)

Related works:
Working Paper: Modelos de memoria larga para series económicas y financieras (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iec:inveco:v:26:y:2002:i:3:p:395-445

Ordering information: This journal article can be ordered from
https://www.fundacio ... tas/presentacion.asp

Access Statistics for this article

Investigaciones Economicas is currently edited by Antonio Cabrales and Pedro Mira

More articles in Investigaciones Economicas from Fundación SEPI Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain.
Bibliographic data for series maintained by Isabel Sánchez-Seco ( this e-mail address is bad, please contact ).