How can we define the concept of long memory ? An econometric survey

Dominique Guegan ()
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Dominique Guegan: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper we discuss different aspects of long memory behaviorand applicable parametric models. We discuss the confusion thatcan arise when the empirical autocorrelation function decreasesin an hyperbolic way.

Keywords: Returns; Long-memory; Switching; Estimation theory; Spectral domain; Returns. (search for similar items in EconPapers)
Date: 2005
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00179343
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Citations: View citations in EconPapers (8)

Published in : Econometric Reviews,, 2005, 24 (2), pp.113 - 149

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00179343

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