Title:
Long memory in economics
Publication Information:
Berlin : Springer, 2007
ISBN:
9783540226949
Available:*
Library | Item Barcode | Call Number | Material Type | Item Category 1 | Status |
|---|---|---|---|---|---|
Searching... | 30000010129149 | HB172.5 L66 2007 | Open Access Book | Book | Searching... |
Searching... | 30000010160736 | HB172.5 L66 2007 | Open Access Book | Book | Searching... |
On Order
Summary
Summary
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.
Table of Contents
| Statistical Methods: Recent Advances in ARCH Modelling |
| Intermittency, Long-Memory and Financial Returns |
| The Spectrum of Euro-Dollar |
| Holderlin 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 |
