Long Memory in Economics
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Published By Springer Berlin Heidelberg

9783540226949

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Long Memory and Hysteresis

Long Memory in Economics ◽

10.1007/978-3-540-34625-8_13 ◽

2007 ◽

pp. 363-389

Author(s):

Christian de Peretti

Keyword(s):

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

Long Memory in Economics ◽

10.1007/3-540-34625-2_8 ◽

2006 ◽

pp. 239-261

Author(s):

Djalil Kateb ◽

Abdellatif Seghier ◽

Gilles Teyssière

Keyword(s):

Orthogonal Polynomials ◽

Toeplitz Matrices ◽

Levinson Algorithm

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

Long Memory in Economics ◽

10.1007/3-540-34625-2_10 ◽

2006 ◽

pp. 289-309 ◽

Author(s):

Rama Cont

Keyword(s):

Financial Markets ◽

Agent Based Models ◽

Volatility Clustering ◽

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A Minimal Noise Trader Model with Realistic Time Series Properties

Long Memory in Economics ◽

10.1007/3-540-34625-2_12 ◽

2006 ◽

pp. 345-361 ◽

Author(s):

Simone Alfarano ◽

Thomas Lux

Keyword(s):

Time Series ◽

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Recent Advances in ARCH Modelling

Long Memory in Economics ◽

10.1007/3-540-34625-2_1 ◽

2006 ◽

pp. 3-38 ◽

Author(s):

Liudas Giraitis ◽

Remigijus Leipus ◽

Donatas Surgailis

Keyword(s):

Recent Advances

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

Long Memory in Economics ◽

10.1007/3-540-34625-2_6 ◽

2006 ◽

pp. 157-172

Author(s):

Marc Henry

Keyword(s):

Long Memory ◽

Semiparametric Estimation

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The Spectrum of Euro-Dollar

Long Memory in Economics ◽

10.1007/3-540-34625-2_3 ◽

2006 ◽

pp. 69-107

Author(s):

Vincent Brousseau

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Intermittency, Long-Memory and Financial Returns

Long Memory in Economics ◽

10.1007/3-540-34625-2_2 ◽

2006 ◽

pp. 39-68

Author(s):

Raj Bhansali ◽

Mark P. Holland ◽

Piotr S. Kokoszka

Keyword(s):

Long Memory ◽

Financial Returns

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A Nonlinear Structural Model for Volatility Clustering

Long Memory in Economics ◽

10.1007/3-540-34625-2_9 ◽

2006 ◽

pp. 265-288 ◽

Author(s):

Andrea Gaunersdorfer ◽

Cars Hommes

Keyword(s):

Structural Model ◽

Volatility Clustering ◽

Nonlinear Structural

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Adaptive Detection of Multiple Change-Points in Asset Price Volatility

Long Memory in Economics ◽

10.1007/3-540-34625-2_5 ◽

2006 ◽

pp. 129-156 ◽

Author(s):

Marc Lavielle ◽

Gilles Teyssière

Keyword(s):

Asset Price ◽

Price Volatility ◽

Change Points ◽

Adaptive Detection

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