Modelling memory of economic and financial time series
Robinson, P.
(2005).
Modelling memory of economic and financial time series.
(Econometrics; EM/2005/487 EM/05/487).
Suntory and Toyota International Centres for Economics and Related Disciplines.
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.
| Item Type | Working paper |
|---|---|
| Copyright holders | © 2005 Peter M Robinson |
| Departments |
LSE > Academic Departments > Economics LSE > Research Centres > STICERD |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/2069 |
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