Long Memory in Economics (eBook)

Gilles Teyssière, Alan P. Kirman (Herausgeber)

eBook Download: PDF

2006
XII, 389 Seiten
Springer Berlin (Verlag)
978-3-540-34625-8 (ISBN)

Infos

When applying the statistical theory of long range dependent (LRD) processes to economics, the strong complexity of macroeconomic and financial variables, compared to standard LRD processes, becomes apparent. In order to get a better understanding of the behaviour of some economic variables, the book 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, models from economic theory providing plausible micro foundations for the occurence of long memory in economics. Each chapter of the book will give a comprehensive survey of the state of the art and the directions that future developments are likely to take. Taken as a whole the book provides an overview of LRD processes which is accessible to economists, econometricians and statisticians.

Inhalt

Preface 5
Contents 10
Statistical Methods 12
Recent Advances in ARCH Modelling 14
Intermittency, Long–Memory and Financial Returns 50
The Spectrum of Euro–Dollar 80
Hölderian Invariance Principles and Some Applications for Testing Epidemic Changes 120
Adaptive Detection of Multiple Change–Points in Asset Price Volatility 140
Bandwidth Choice, Optimal Rates and Adaptivity in Semiparametric Estimation of Long Memory 168
Wavelet Analysis of Nonlinear Long–Range Dependent Processes. Applications to Financial Time Series 184
Prediction, Orthogonal Polynomials and Toeplitz Matrices. A Fast and Reliable Approximation to the Durbin– Levinson Algorithm 250
Economic Models 274
A Nonlinear Structural Model for Volatility Clustering 276
Volatility Clustering in Financial Markets: Empirical Facts and Agent– Based Models 300
The Microeconomic Foundations of Instability in Financial Markets 322
A Minimal Noise Trader Model with Realistic Time Series Properties 356
Long Memory and Hysteresis 374

Produkt-Details

• Erscheint lt. Verlag: 22.9.2006
• Zusatzinfo: XII, 389 p.
• Verlagsort: Berlin
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre
• Schlagworte: Agents • algorithms • Calculus • Economics • Financial Markets • instability • Invariance • Long Memory • Long Range Dependent Processes • Market Interaction • Modeling • statistical method • Statistical Theory • Stochastic Processes • Time Series • Variance • Volatility
• ISBN-10: 3-540-34625-2 / 3540346252
• ISBN-13: 978-3-540-34625-8 / 9783540346258