Long Memory in Economics

ISBN-13: 9783642061547 / Angielski / Miękka / 2010 / 389 str.

Gilles Teyssiere; Alan P. Kirman

Opis

When applying the statistical theory of long range dependent (LRD) processes to economics, the complexity of macroeconomic and financial variables, compared to standard LRD processes, becomes apparent. To gain an understanding of the behaviour of economic variables, this book assembles three strands of long memory analysis.

Spis treści

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.