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
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;
Conference_Titel :
Computational Intelligence for Financial Engineering, 2003. Proceedings. 2003 IEEE International Conference on
Print_ISBN :
0-7803-7654-4
DOI :
10.1109/CIFER.2003.1196260
