Long Memory and Fractional Integration

Uwe Hassler

Chapter 5 in Stochastic Processes and Calculus, 2016, pp 103-126 from Springer

Abstract: Abstract Below Proposition 3.5 we saw that the autocorrelation sequence of any stationary ARMA process dies out at exponential rate: | ρ(h) | ≤ c g h , see ( 3.14 ). This is too restrictive for many time series of stronger persistence, which display long memory in that the autocovariance sequence vanishes at a slower rate. In some fields of economics and finance long memory is treated as an empirical stylized fact.

Keywords: Impulse Response; Fractional Integration; Fractional Difference; Short Memory; Fractional Noise (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/978-3-319-23428-1_5

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