著者

矢島 美寛

出版者

一般社団法人 日本応用数理学会

雑誌

応用数理 (ISSN:24321982)

巻号頁・発行日

vol.11, no.4, pp.281-294, 2001-12-14 (Released:2017-04-08)

参考文献数

53

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This paper provides a survey of long memory models and their applications in economic and financial time series. Section 2 describes the definition of long memory models, particularly two popular models, ARFIMA and FGN. Section 3 describes unit roots tests and cointegration, two major topics of the recent decades in theoretical and applied econometrics. Section 4 discusses a generalization of unit roots tests and cointegration to long memory models. Section 5 describes ARCH models and SV models which have been paid much attention to analyze volatility in actual financial data. Section 6 considers a generalization of these volatility models to those with long memory properties. Finally Section 7 considers some problems to be solved in future.