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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].

MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G18 Self-similar stochastic processes
91B28 Finance etc. (MSC2000)
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