Teyssière / Kirman Long Memory in Economics
1. Auflage 2006
ISBN: 978-3-540-34625-8
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, 389 Seiten, Web PDF
Reihe: Economics and Finance (R0)
ISBN: 978-3-540-34625-8
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
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.
