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2019 | OriginalPaper | Buchkapitel

14. Long Memory Time Series

verfasst von : Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner

Erschienen in: Statistics of Financial Markets

Verlag: Springer International Publishing

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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.

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Vorheriges Kapitel Time Series with Stochastic Volatility

Nächstes Kapitel Non-Parametric and Flexible Time Series Estimators

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Titel: Long Memory Time Series
verfasst von: Jürgen Franke
Wolfgang Karl Härdle
Christian Matthias Hafner
Verlag: Springer International Publishing
Buch: Statistics of Financial Markets
Print ISBN: 978-3-030-13750-2

Electronic ISBN: 978-3-030-13751-9

Copyright-Jahr: 2019
DOI: https://doi.org/10.1007/978-3-030-13751-9_14