How can we Define the Concept of Long Memory? An Econometric Survey

Dominique Guegan

Econometric Reviews, 2005, vol. 24, issue 2, 113-149

Abstract: In this paper we discuss different aspects of long memory behavior and applicable parametric models. We discuss the confusion that can arise when the empirical autocorrelation function decreases in a hyperbolic way.

Keywords: Estimation theory; Long memory; Returns; Spectral domain; Switching (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (8)

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Working Paper: How can we define the concept of long memory ? An econometric survey (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:24:y:2005:i:2:p:113-149

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DOI: 10.1081/ETC-200067887

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