TEN THINGS WE SHOULD KNOW ABOUT TIME SERIES
总结了时间序列分析中十个关键要点，涵盖计量经济学基础、测量误差、单位根检验、长记忆过程、VARFIMA模型、协整分析、波动率模型选择等，对从事经济金融数据建模的研究者具有参考价值。
Time series data affect many aspects of our lives. This paper highlights 10 things we should all know about time series, namely, a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing fractionally integrated and long memory processes, estimating VARFIMA models, using and interpreting cointegrating models carefully, choosing sensibly among univariate conditional, stochastic and realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of multivariate volatility models, and thinking carefully about forecasting models and expertise. © 2010 Blackwell Publishing Ltd.