MODELING MEMORY OF ECONOMIC AND FINANCIAL TIME SERIES

Peter M. Robinson
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Peter M. Robinson: London School of Economics, UK

The Singapore Economic Review (SER), 2005, vol. 50, issue 01, 1-8

Abstract: Much time series data are recorded on economic and financial variables. Statistical modeling 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: Time series model; short memory; long memory; stochastic volatility (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1142/S0217590805001809

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