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.
Copy

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.

picture_as_pdf


Download

Export as

EndNote BibTeX Reference Manager Refer Atom Dublin Core JSON Multiline CSV
Export