Long Memory in Economics (eBook, PDF)

Redaktion: Teyssière, Gilles; Kirman, Alan P.

• Format: PDF

Produktbeschreibung

A comprehensive survey on current and future developments in long memory analysis. The book assembles three different strands of long memory analysis: statistical literature - including tests - on the properties of LRD processes; mathematical literature on stochastic processes; and models from economic theory providing. The text is aimed at economists, econometricians, and statisticians interested in the study of long memory in economics.

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Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 389
• Erscheinungstermin: 22. September 2006
• Englisch
• ISBN-13: 9783540346258
• Artikelnr.: 37368738

Autorenporträt

Gilles Teyssière, Paris, France / Alan Kirman, G.R.E.Q.A.M., Marseille, France

Inhaltsangabe

Statistical Methods.- Recent Advances in ARCH Modelling.- Intermittency, Long-Memory and Financial Returns.- The Spectrum of Euro-Dollar.- Hölderian Invariance Principles and Some Applications for Testing Epidemic Changes.- Adaptive Detection of Multiple Change-Points in Asset Price Volatility.- Bandwidth Choice, Optimal Rates and Adaptivity in Semiparametric Estimation of Long Memory.- Wavelet Analysis of Nonlinear Long-Range Dependent Processes. Applications to Financial Time Series.- Prediction, Orthogonal Polynomials and Toeplitz Matrices. A Fast and Reliable Approximation to the Durbin-Levinson Algorithm.- Economic Models.- A Nonlinear Structural Model for Volatility Clustering.- Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models.- The Microeconomic Foundations of Instability in Financial Markets.- A Minimal Noise Trader Model with Realistic Time Series Properties.- Long Memory and Hysteresis.