Modelling memory of economic and financial time series
Robinson, Peter
(2005)
Modelling memory of economic and financial time series
[Working paper]
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 |
|---|---|
| Keywords | Long memory; short memory; stochastic volatility |
| Departments |
Economics STICERD |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/2069 |