English, Article edition: MODELING MEMORY OF ECONOMIC AND FINANCIAL TIME SERIES PETER M. ROBINSON

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Bookmark: http://trove.nla.gov.au/version/131857
Physical Description
  • article
Language
  • English

Edition details

Title
  • MODELING MEMORY OF ECONOMIC AND FINANCIAL TIME SERIES
Author
  • PETER M. ROBINSON
Physical Description
  • article
Notes
  • Much time series data are recorded on economic and financial variables. Statistical modeling 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.
  • Time series model, short memory, long memory, stochastic volatility
  • RePEc:wsi:serxxx:v:50:y:2005:i:01:p:1-8
Language
  • English
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