【摘要】 讨论了金融市场实证研究领域的一个热门话题:长记忆性。其特征是自相关函数具有高阶的滞后,并且以缓慢的双曲率衰减,而不是以标准的ARMA过程的指数率衰减。因此,今天发生的事件对序列中今后所发生事件的影响会持续数月,甚至数年。而这正是金融市场的特征之一。更多还原

【Abstract】 This paper examines one of the current "hot topics" in financial market empirical research: lon memory. Its autocorrelations at very high lags, decay at a slower, hyperbolic rate, rather than at the exponential rate in a standard ARMA process. Hence events which occur in the process today may continue to influence it for months or even years afterwards. And this is one of the characters in financial markets. So we bring in three long memory models here.更多还原