The long-range dependence paradigm for macroeconomics and finance.

*(English)*Zbl 1026.62114
Doukhan, Paul (ed.) et al., Theory and applications of long-range dependence. Boston, MA: Birkhäuser. 417-438 (2003).

Summary: The long-range dependence paradigm appears to be a suitable description of the data generating process for many observed economic time series. This is mainly due to the fact that it naturally characterizes time series displaying a high degree of persistence in the form of a long lasting effect of unanticipated shocks, yet exhibiting mean reversion. Whereas linear long-range dependent time series models have been extensively used in macroeconomics, empirical evidence from financial time series prompted the development of nonlinear long-range dependent time series models, in particular models of changing volatility. We discuss empirical evidence of long-range dependence as well as the theoretical issues, both for economics and econometrics, that such evidence has stimulated.

For the entire collection see [Zbl 1005.00017].

For the entire collection see [Zbl 1005.00017].