• DocumentCode
    393761
  • Title

    Microeconomic modeling of financial time series with long term memory

  • Author

    Cerqueti, Roy ; Rotundo, Giulia

  • Author_Institution
    Dept. of Math. for Econ., Financial & Insurance Decisions, Univ. of Rome "La Sapienza", Italy
  • fYear
    2003
  • fDate
    20-23 March 2003
  • Firstpage
    191
  • Lastpage
    198
  • Abstract
    In this paper we fix a microeconomic model of exchange rates and we give the explicit relation between model´s parameters and its long memory properties. This avoids long numerical calibration procedures and allows to build the model with the parameters suitable for the required long memory degree.
  • Keywords
    economic cybernetics; time series; exchange rates; long memory properties; microeconomic model; numerical calibration procedures; Autocorrelation; Calibration; Economic forecasting; Exchange rates; Insurance; Mathematical model; Mathematics; Microeconomics; Power generation economics; Spectral analysis;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computational Intelligence for Financial Engineering, 2003. Proceedings. 2003 IEEE International Conference on
  • Print_ISBN
    0-7803-7654-4
  • Type

    conf

  • DOI
    10.1109/CIFER.2003.1196260
  • Filename
    1196260
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=393761