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SEMINARI DI PROBABILITA' E STATISTICA MATEMATICA

DIPARTIMENTO DI MATEMATICA "G. PEANO"

UNIVERSITA' DEGLI STUDI DI TORINO

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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