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Long Memory in Economics
. Ed(S): Teyssiere, Gilles; Kirman, Alan P.
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Description for Long Memory in Economics
Hardback. 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; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics. Editor(s): Teyssiere, Gilles; Kirman, Alan P. Num Pages: 389 pages, 50 black & white tables, biography. BIC Classification: KCA; PBT. Category: (UP) Postgraduate, Research & Scholarly. Dimension: 235 x 155 x 27. Weight in Grams: 765.
Long-rangedependent, or long-memory,time seriesarestationarytime series displaying a statistically signi?cant dependence between very distant obs- vations. We formalize this dependence by assuming that the autocorrelation function of these stationary series decays very slowly, hyperbolically, as a function of the time lag. Many economic series display these empirical features: volatility of asset prices returns, future interest rates, etc. There is a huge statistical literature on long-memory processes, some of this research is highly technical, so that it is cited, but often misused in the applied econometrics and empirical e- nomics literature. The ?rst purpose of this book is to present in a ... Read more
Long-rangedependent, or long-memory,time seriesarestationarytime series displaying a statistically signi?cant dependence between very distant obs- vations. We formalize this dependence by assuming that the autocorrelation function of these stationary series decays very slowly, hyperbolically, as a function of the time lag. Many economic series display these empirical features: volatility of asset prices returns, future interest rates, etc. There is a huge statistical literature on long-memory processes, some of this research is highly technical, so that it is cited, but often misused in the applied econometrics and empirical e- nomics literature. The ?rst purpose of this book is to present in a ... Read more
Product Details
Format
Hardback
Publication date
2006
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
389
Condition
New
Number of Pages
389
Place of Publication
Berlin, Germany
ISBN
9783540226949
SKU
V9783540226949
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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