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The long range dependence paradigm for macroeconomics and finance

Marc Henry; Paolo Zaffaroni

Title:
The long range dependence paradigm for macroeconomics and finance
Author(s):
Henry, Marc
Zaffaroni, Paolo
Date:
Type:
Working papers
Department:
Economics
Permanent URL:
Series:
Department of Economics Discussion Papers
Part Number:
0102-19
Publisher:
Department of Economics, Columbia University
Publisher Location:
New York
Abstract:
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, such evidence has stimulated.
Subject(s):
Economic theory
Item views:
161
Metadata:
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