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Long Memory Time Series

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner
Chapter
Part of the Universitext book series (UTX)

Abstract

Empirical studies involving economic variables such as price level, real output and nominal interest rates have been shown to exhibit some degree of persistence. Moreover, findings across several asset markets have revealed a high persistence of volatility shocks and that over sufficiently long periods of time the volatility is typically stationary with “mean-reverting” behaviour.

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Christian Matthias Hafner
    • 3
  1. 1.Department of MathematicsTechnische Universität KaiserslauternKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of StatisticsHumboldt-Universität BerlinBerlinGermany
  3. 3.Louvain Institute of Data Analysis and Modeling in Economics and StatisticsUCLouvainLouvain-la-NeuveBelgium

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