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

Dominique Guegan (1)

1 IDHE - Institutions et Dynamiques Historiques de l'Economie

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 decreasesin an hyperbolic way.

Mots clés: Returns; Long-memory; Switching; Estimation<br />theory; Spectral domain; Returns.

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]

Dominique Guegan. How can we define the concept of long memory ? An econometric survey,. : Econometric Reviews,, 2005, 24 (2), pp.113 - 149. ⟨halshs-00179343⟩