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Modelling memory of economic and financial time series

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Much time series data are recorded on economic and financial variables. Statistical modelling of such data is now very well developed, and has applications in forecasting. We review a variety of statistical models from the viewpoint of ‘memory’, or strength of dependence across time, which is a helpful discriminator between different phenomena of interest. Both linear and nonlinear models are discussed.

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en

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application/pdf

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http://eprints.lse.ac.uk/2069/1/Modelling_Memory_of_Economic_and_Financial_Time_Series.pdf

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