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Long Memory Time Series

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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. Such series are reported to be characterized by distinct, but non-periodic, cyclical patterns and their behaviour is such that current values are not only influenced by immediate past values but values from previous time periods.

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Authors and Affiliations

  1. FB Mathematik, TU Kaiserslautern, Kaiserslautern, Germany

    Jürgen Franke

  2. Ladislaus von Bortkiewicz Chair of Statistics C.A.S.E. Centre for Applied Statistics and Economics School of Business and Economics, Humboldt-Universität zu Berlin, Unter den Linden 6, Berlin, Germany

    Wolfgang Karl Härdle

  3. Sim Kee Boon Institute for Financial Economics, Singapore Management University, Singapore, Singapore

    Wolfgang Karl Härdle

  4. Inst. Statistique, Université Catholique de Louvain, Leuven-la-Neuve, Belgium

    Christian Matthias Hafner

Authors
  1. Jürgen Franke
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  2. Wolfgang Karl Härdle
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  3. Christian Matthias Hafner
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Franke, J., Härdle, W.K., Hafner, C.M. (2015). Long Memory Time Series. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-54539-9_14

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