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Long Memory in Economics

  • Book
  • © 2007

Overview

Editors:
  1. Gilles Teyssière

    1. Laboratoire de Statistique Appliquée et de Modélisation Stochastique (SAMOS), Panthéon Sorbonne, Centre Pierre Mendès, Université Paris 1, Paris Cedex 13, France

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  2. Alan P. Kirman

    1. L’Ecole des Hautes Etudes en Sciences Sociales (EHESS), Université Aix-Marseille III, Marseille, France

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  • Comprehensive survey of the state of the art and of future developments in long memory analysis
  • Combination of statistical, mathematical, and economic research in the field
  • Includes supplementary material: sn.pub/extras

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Table of contents (13 chapters)

  1. Front Matter

    Pages I-XII
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  2. Statistical Methods

    1. Front Matter

      Pages 1-1
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    2. Recent Advances in ARCH Modelling

      • Liudas Giraitis, Remigijus Leipus, Donatas Surgailis
      Pages 3-38

    3. Intermittency, Long-Memory and Financial Returns

      • Raj Bhansali, Mark P. Holland, Piotr S. Kokoszka
      Pages 39-68

    4. The Spectrum of Euro-Dollar

      • Vincent Brousseau
      Pages 69-107

    5. Hölderian Invariance Principles and Some Applications for Testing Epidemic Changes

      • Alfredas Račkauskas, Charles Suquet
      Pages 109-128

    6. Adaptive Detection of Multiple Change-Points in Asset Price Volatility

      • Marc Lavielle, Gilles Teyssière
      Pages 129-156

    7. Bandwidth Choice, Optimal Rates and Adaptivity in Semiparametric Estimation of Long Memory

      • Marc Henry
      Pages 157-172

    8. Wavelet Analysis of Nonlinear Long-Range Dependent Processes. Applications to Financial Time Series

      • Gilles Teyssière, Patrice Abry
      Pages 173-238

    9. Prediction, Orthogonal Polynomials and Toeplitz Matrices. A Fast and Reliable Approximation to the Durbin-Levinson Algorithm

      • Djalil Kateb, Abdellatif Seghier, Gilles Teyssière
      Pages 239-261

  3. Economic Models

    1. Front Matter

      Pages 263-263
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    2. A Nonlinear Structural Model for Volatility Clustering

      • Andrea Gaunersdorfer, Cars Hommes
      Pages 265-288

    3. Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models

      • Rama Cont
      Pages 289-309

    4. The Microeconomic Foundations of Instability in Financial Markets

      • Alan Kirman
      Pages 311-344

    5. A Minimal Noise Trader Model with Realistic Time Series Properties

      • Simone Alfarano, Thomas Lux
      Pages 345-361

    6. Long Memory and Hysteresis

      • Christian de Peretti
      Pages 363-389
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Keywords

Editors and Affiliations

  • Laboratoire de Statistique Appliquée et de Modélisation Stochastique (SAMOS), Panthéon Sorbonne, Centre Pierre Mendès, Université Paris 1, Paris Cedex 13, France

    Gilles Teyssière

  • L’Ecole des Hautes Etudes en Sciences Sociales (EHESS), Université Aix-Marseille III, Marseille, France

    Alan P. Kirman

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