[推荐]经典原版书籍Long Memory in Economics【2007】

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Contents
Part I Statistical Methods
Recent Advances in ARCH Modelling
Liudas Giraitis, Remigijus Leipus, Donatas Surgailis . . . . . . . . . . . . . . . . . 3
Intermittency, Long–Memory and Financial Returns
Raj Bhansali, Mark P. Holland, Piotr S. Kokoszka . . . . . . . . . . . . . . . . . . . 39
The Spectrum of Euro–Dollar
Vincent Brousseau . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
H¨olderian Invariance Principles and Some Applications for
Testing Epidemic Changes
Alfredas Raˇckauskas, Charles Suquet. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
Adaptive Detection of Multiple Change–Points in Asset Price
Volatility
Marc Lavielle, Gilles Teyssi`ere . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
Bandwidth Choice, Optimal Rates and Adaptivity in
Semiparametric Estimation of Long Memory
Marc Henry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157
Wavelet Analysis of Nonlinear Long–Range Dependent
Processes. Applications to Financial Time Series
Gilles Teyssi`ere, Patrice Abry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173
Prediction, Orthogonal Polynomials and Toeplitz Matrices.
A Fast and Reliable Approximation to the Durbin–Levinson
Algorithm
Djalil Kateb, Abdellatif Seghier, Gilles Teyssi`ere . . . . . . . . . . . . . . . . . . . . . 239

Part II Economic Models
A Nonlinear Structural Model for Volatility Clustering
Andrea Gaunersdorfer, Cars Hommes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265
Volatility Clustering in Financial Markets: Empirical Facts
and Agent–Based Models
Rama Cont. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 289
The Microeconomic Foundations of Instability in Financial
Markets
Alan Kirman . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311
A Minimal Noise Trader Model with Realistic Time Series
Properties
Simone Alfarano, Thomas Lux . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 345
Long Memory and Hysteresis
Christian de Peretti . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 363

https://bbs.pinggu.org/thread-155844-1-1.html&page=1

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：Economics Economic memory econom Econo Economics 原版 long memory

weall@eyou.com

thanks