Long Memory in Economics [electronic resource] /
Teyssière, Gilles.editor.
Kirman, Alan P.editor.
Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.
Description based upon print version of record.
Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.
Includes bibliographical references.
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.
Economic theory.
Game theory.
Statistics .
Econometrics.
Economic Theory/Quantitative Economics/Mathematical Methods.
Game Theory, Economics, Social and Behav. Sciences.
Statistics for Business, Management, Economics, Finance, Insurance.
Econometrics.