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Title Long memory in economics / Gilles Teyssiere, Alan P. Kirman, editors.
Imprint Berlin ; New York : Springer, 2007.

LOCATION CALL # STATUS MESSAGE
 OHIOLINK SPRINGER EBOOKS    ONLINE  
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LOCATION CALL # STATUS MESSAGE
 OHIOLINK SPRINGER EBOOKS    ONLINE  
View online
Subject Macroeconomics -- Mathematical models.
Equilibrium (Economics) -- Mathematical models.
Time-series analysis.
Alt Name Teyssière, Gilles.
Kirman, A. P.
Description 1 online resource (xii, 389 pages) : illustrations
Bibliography Note Includes bibliographical references.
Access Use copy Restrictions unspecified star
Reproduction Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010.
System Details Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
Contents Statistical Methods: Recent Advances in ARCH Modelling -- Intermittency, Long-Memory and Financial Returns -- The Spectrum of Euro-Dollar -- Holderlin 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.
Summary 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.
ISBN 9783540346258 (electronic)
3540346252 (electronic)
6610634882
9786610634880
9783540226949 (paper)
354022694X (paper)
ISBN/ISSN 10.1007/978-3-540-34625-8
OCLC # 85892073
Link Springer e-books
Additional Format Print version: Long memory in economics. Berlin ; New York : Springer, 2007 354022694X (OCoLC)74671260
Online version: Long memory in economics. Berlin ; New York : Springer, 2007 (OCoLC)846183226