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

2005101 citationsJournal Article

Authors

Dominique Guégan · Centre National de la Recherche Scientifique

Abstract

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.

Topics & Keywords

Complex Systems and Time Series Analysis Market Dynamics and Volatility Financial Risk and Volatility Modeling

UN Sustainable Development Goals

Decent work and economic growth

Publication Details

Published in: Econometric Reviews

Volume 24, Issue 2, pp. 113-149

DOI: 10.1081/etc-200067887

Field-Weighted Citation Impact: 11.87