Long Memory in Economics (2007)

Long Memory in Economics. Springer Verlag, 2007
ISBN-13 (Paperback): 978-3642061547
ISBN-13 (Hardcover): 978-3540226949
DOI:10.1007/978-3-540-34625-8
Mathematical Reviews® (MathSciNet® ): MR2263582.

1. Recent Advances in ARCH Modelling, by Liudas Giraitis, Remigijus Leipus and Donatas Surgailis, pp. 3-38.
2. Intermittency, Long-Memory and Financial Returns, by Raj Bhansali, Mark P. Holland and Piotr S. Kokoszka, pp. 39-68.
3. The Spectrum of Euro-Dollar, by Vincent Brousseau, pp. 69-107.
4. Hölderian Invariance Principles and Some Applications for Testing Epidemic Changes, by Alfredas Račkauskas and Charles Suquet, pp. 109-128.
5. Adaptive Detection of Multiple Change-Points in Asset Price Volatility, by Marc Lavielle and Gilles Teyssière, pp. 129-156.
6. Bandwidth Choice, Optimal Rates and Adaptivity in Semiparametric Estimation of Long Memory, by Marc Henry, pp. 157-172.
7. Wavelet Analysis of Nonlinear Long-Range Dependent Processes. Applications to Financial Time Series, by Patrice Abry and Gilles Teyssière, pp. 173-238.
8. Prediction, Orthogonal Polynomials and Toeplitz Matrices. A Fast and Reliable Approximation to the Durbin-Levinson Algorithm, by Djalil Kateb, Abdellatif Seghier and Gilles Teyssière, pp. 239-261.
9. A Nonlinear Structural Model for Volatility Clustering, by Andrea Gaunersdorfer and Cars Hommes, pp. 265-288.
10. Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models, by Rama Cont, pp. 289-309.
11. A Minimal Noise Trader Model with Realistic Time Series Properties, by Simone Alfarano and Thomas Lux, pp. 345-361.
12. Long Memory and Hysteresis, by Christian de Peretti, pp. 363-389.

• Patrice Abry, École Normale Supérieure de Lyon, Laboratoire de Physique, CNRS UMR 5672, France,
• Simone Alfarano, University of Kiel, Department of Economics, Germany,
• Rajendra J. Bhansali, The University of Liverpool, Department of Mathematical Sciences, UK,
• Vincent Brousseau, European Central Bank, Frankfurt, Germany,
• Rama Cont, Centre de Mathématiques Appliquées, École Polytechnique, Paris, France,
• Christian de Peretti, London Metropolitan University, Department of Economics, Finance and International Business, UK,
• Andrea Gaunersdorfer, University of Vienna, Department of Business Studies, Austria,
• Liudas Giraitis, University of York, Department of Mathematics, UK,
• Marc Henry, Columbia University, Department of Economics, USA,
• Mark P. Holland, University of Surrey, Department of Mathematics, UK,
• Cars Hommes, University of Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, The Netherlands,
• Djalil Kateb, Université de Technologie de Compiègne, Laboratoire de Mathématiques Appliquées de Compiègne, France,
• Piotr Kokoszka, Utah State University, Department of Mathematics and Statistics, USA,
• Marc Lavielle, Université René Descartes and Université Paris-Sud, Laboratoire de Mathématiques, France,
• Remis Leipus, Vilnius University, Institute of Mathematics and Informatics, Lithuania,
• Thomas Lux,University of Kiel, Department of Economics, Germany,
• Alfredas Račkauskas, Vilnius University and Institute of Mathematics and Informatics, Department of Mathematics, Lithuania,
• Abdellatif Seghier, Université Paris-Sud, Laboratoire de Mathématiques, France,
• Charles Suquet, Université des Sciences et Technologies de Lille, Laboratoire de Mathématiques Appliquées, FRE CNRS 2222, France,
• Donatas Surgailis, Vilnius Institute of Mathematics and Informatics, Lithuania,
• Gilles Teyssière, Statistique Appliquée et Modélisation Stochastique, Université Paris 1, France.

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