How can we define the concept of long memory ? An econometric survey,

In this paper we discuss different aspects of long memory behaviorand applicable parametric models. We discuss the confusion thatcan arise when the empirical autocorrelation function decreasesin an hyperbolic way.

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Year of publication:	2005
Authors:	Guegan, Dominique
Institutions:	HAL
Subject:	Long-memory \| Switching \| Estimationtheory \| Spectral domain \| Returns

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00179343/en/ Published, : Econometric Reviews,, 2005, 24, 2, 113 - 149
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008791569