Modelling memory of economic and financial time series

Peter Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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)
Pages: 13 pages
Date: 2005-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2069

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