Long Memory in Economics

Part I.Statistical Methods

1. Recent Advances in ARCH Modelling
Liudas Giraitis, Remigijus Leipus, Donatas Surgailis

2. Intermittency, Long-Memory and Financial Returns
Raj Bhansali, Mark P. Holland, Piotr S. Kokoszka

3. The Spectrum of Euro-Dollar
Vincent Brousseau

4. Hölderian Invariance Principles and Some Applications for Testing Epidemic Changes
Alfredas Rackauskas, Charles Suquet

5. Adaptive Detection of Multiple Change-Points in Asset Price Volatility
Marc Lavielle, Gilles Teyssière

6. Bandwidth Choice, Optimal Rates and Adaptivity in Semiparametric Estimation of Long Memory
Marc Henry

7. Wavelet Analysis of Nonlinear Long-Range Dependent Processes. Applications to Financial Time Series
Gilles Teyssière, Patrice Abry

8. Prediction, Orthogonal Polynomials and Toeplitz Matrices. A Fast and Reliable Approximation to the Durbin-Levinson Algorithm
Djalil Kateb, Abdellatif Seghier, Gilles Teyssière

Part II.Economic Models

9. A Nonlinear Structural Model for Volatility Clustering
Andrea Gaunersdorfer, Cars Hommes

10. Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models
Rama Cont

11. The Microeconomic Foundations of Instability in Financial Markets
Alan Kirman

12. A Minimal Noise Trader Model with Realistic Time Series Properties
Simone Alfarano, Thomas Lux

13. Long Memory and Hysteresis
Christian Peretti

DRM-restrictions

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Avainsanat: BUSINESS & ECONOMICS / Management Science BUS042000