How can we Define the Concept of Long Memory? An Econometric Survey

Dominique Guégan

101 citations0/0 files storedEconometric Reviews

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Time Series Analysis and Forecasting

Abstract

In this paper we discuss different aspects of long memory behavior and applicable parametric models. We discuss the confusion that can arise when the empirical autocorrelation function decreases in a hyperbolic way.

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1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1977Time Series Analysis: Forecasting and Control 1977Time Series Analysis: Forecasting and Control 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1993A long memory property of stock market returns and a new model 1981Fractional Differencing

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