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Modelos de memoria larga para series económicas y financieras

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  • Pérez, Ana
Abstract
En este trabajo se hace una revisión de los modelos de series temporales con memoria larga para la media y la varianza condicionada, con especial atención a los modelos ARMA fraccionalmente integrados (ARFIMA) y a los modelos GARCH y SV fraccionalmente integrados. Se estudian sus propiedades más importantes y se discute su aplicación en la modelización de series económicas y financieras. También se describen los principales métodos de estimación propuestos para estos modelos y se revisan algunos contrastes para detectar la presencia de memoria larga. Finalmente, se revisan los principales resultados sobre predicción de valores futuros de series temporales con memoria larga.

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  • Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. Estadística y Econometría. DS ds010101, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:dsrepe:ds010101
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    Cited by:

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    3. Sylvain Prado, 2011. "Free lunch in the oil market: a note on Long Memory," Working Papers hal-04140982, HAL.
    4. Ochoa García, Libardo, 2001. "Alianza para la Exportación entre Pequeños Agricultores Pobres en Colombia," IDB Publications (Working Papers) 1164, Inter-American Development Bank.

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    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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