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  • Book
  • © 2007

Long Memory in Economics

  • 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
  2. Statistical Methods

    1. Front Matter

      Pages 1-1
    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. Adaptive Detection of Multiple Change-Points in Asset Price Volatility

      • Marc Lavielle, Gilles Teyssière
      Pages 129-156
  3. Economic Models

    1. Front Matter

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

      • Andrea Gaunersdorfer, Cars Hommes
      Pages 265-288
    3. A Minimal Noise Trader Model with Realistic Time Series Properties

      • Simone Alfarano, Thomas Lux
      Pages 345-361
    4. Long Memory and Hysteresis

      • Christian de Peretti
      Pages 363-389

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

Bibliographic Information

Buy it now

Buying options

eBook USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access