********************************************************************* SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA DIPARTIMENTO DI MATEMATICA "G. PEANO" UNIVERSITA' DEGLI STUDI DI TORINO *********************************************************************
Mercoledì 22 Maggio 2019, alle ore 11:30, presso il Dipartimento di Matematica "G.Peano" (via Carlo Alberto 10, Torino), si terrà il seguente seminario (Aula 5):
Luis GIL-ALANA (Navarra University)
Title: LONG MEMORY AND FRACTIONAL INTEGRATION. AN OVERVIEW
Abstract
We present two definitions of long memory and focus on a particular model that satisfies this property which is called fractional integration. Alternative fractionally integrated models dealing with issues such as seasonality, structural breaks, cycliclity and non-linerities are presented and several estimation and testing methods are proposed. A number of empirical applications will also be discussed at the end of the talk.
Tutti gli interessati sono invitati a partecipare.
Cordiali saluti, Elvira Di Nardo