Long Memory in Economics
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Beschreibung
A comprehensive survey on current and future developments in long memory analysis. The book assembles three different strands of long memory analysis: statistical literature – including tests – on the properties of LRD processes; mathematical literature on stochastic processes; and models from economic theory providing. The text is aimed at economists, econometricians, and statisticians interested in the study of long memory in economics.
Comprehensive survey of the state of the art and of future developments in long memory analysis Combination of statistical, mathematical, and economic research in the field Includes supplementary material: sn.pub/extras
Autor*in
Gilles Teyssière
Themen in »Long Memory in Economics«
Long Memory Stochastic Processes Variance agents algorithms calculus economics financial markets instability invariance modeling statistical method statistical theory time series volatility