Long Memory in Economics [Paperback]

Statistical Methods.- Recent Advances in ARCH Modelling.- Intermittency, Long-Memory and Financial Returns.- The Spectrum of Euro-Dollar.- H?lderian 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.

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

A comprehensive survey on current and future developments in long memory analysis. The book assembles three different strands of long memory analysis: statistical literature  including tests  on the properties of LRD processes; mathematical literature on stochastic processes; and models from economic theory providing. The text is aimed at economists, econometricians, and statisticians interested in the study of long memory in economics.

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