Abstract
This paper provides a survey and review of the major econometric work on long memory processes, fractional integration, and their applications in economics and finance. Some of the definitions of long memory are reviewed, together with previous work in other disciplines. Section 3 describes the population characteristics of various long memory processes in the mean, including ARFIMA. Section 4 is concerned with estimation and examines semiparametric procedures in both the frequency and time domain, and also the properties of various regression based and maximum likelihood techniques. Long memory volatility processes are discussed in Section 5, while Section 6 discusses applications in economics and finance. The paper also has a concluding section.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
