Long Memory in the Oil Market: A Spectral Approach
Yuri Balagula and
Yulia Abakumova ()
No 2011/01, EUSP Department of Economics Working Paper Series from European University at St. Petersburg, Department of Economics
In the paper, we propose a spectral approach to estimation of the long-memory effect in time series and its practical application for oil prices analysis. (In Russian).
Keywords: econometrics; long memory; oil price (search for similar items in EconPapers)
JEL-codes: C32 E3 O13 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2011-01-01, Revised 2011-01-13
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Persistent link: https://EconPapers.repec.org/RePEc:eus:wpaper:ec2011_01
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