Long Memory in Economics

• Corporate Author: SpringerLink (Online service)
• Other Authors: Teyssière, Gilles (Editor), Kirman, Alan P. (Editor)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2007.
• Subjects: Game theory.; Statistics.; Economic theory.; Econometrics.; Economics.; Economic Theory/Quantitative Economics/Mathematical Methods.; Game Theory, Economics, Social and Behav. Sciences.; Statistics for Business/Economics/Mathematical Finance/Insurance.

Table of Contents:

• 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.