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Long Memory in Economics - Alan Kirman, Gilles Teyssière, Alan P. Kirman
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Alan Kirman, Gilles Teyssière, Alan P. Kirman:
Long Memory in Economics - gebunden oder broschiert

ISBN: 354022694X

[SR: 10344210], Hardcover, [EAN: 9783540226949], Springer, Springer, Book, [PU: Springer], Springer, 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 formal and pedagogical way some statistical methods for studying long-range dependent processes. Furthermore, the occurrence of long-memory in economic time series might be a statistical artefact as the hyperbolic decay of the sample autoc- relation function does not necessarily derive from long-range dependent p- cesses. Indeed, the realizations of non-homogeneous processes, e.g., switching regime and change-point processes, display the same empirical features. We thus also present in this book recent statistical methods able to discriminate between the long-memory and change-point alternatives. Going beyond the purely statistical analysis of economic series, it is of interest to determine which economic mechanisms are generating the strong dependence properties of economic series, whether they are genuine, or spu- ous. The regularities of the long-memory and change-point properties across economic time series, e.g., common degree of long-range dependence and/or common change-points, suggest the existence of a common economic cause., 2586, Econometrics, 2581, Economics, 3, Business & Money, 1000, Subjects, 283155, Books, 2602, Theory, 2581, Economics, 3, Business & Money, 1000, Subjects, 283155, Books, 10020691011, Statistics, 2732, Education & Reference, 3, Business & Money, 1000, Subjects, 283155, Books, 13922, Game Theory, 226699, Applied, 13884, Mathematics, 75, Science & Math, 1000, Subjects, 283155, Books, 52161011, Statistics, 226699, Applied, 13884, Mathematics, 75, Science & Math, 1000, Subjects, 283155, Books, 491586, Economic Theory, 491584, Economics, 468220, Business & Finance, 465600, New, Used & Rental Textbooks, 2349030011, Specialty Boutique, 283155, Books, 468218, Mathematics, 491542, Algebra & Trigonometry, 491544, Calculus, 491546, Geometry, 491548, Statistics, 468216, Science & Mathematics, 465600, New, Used & Rental Textbooks, 2349030011, Specialty Boutique, 283155, Books

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Long Memory in Economics - Alan Kirman, Gilles Teyssière, Alan P. Kirman
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
(*)
Alan Kirman, Gilles Teyssière, Alan P. Kirman:
Long Memory in Economics - gebunden oder broschiert

ISBN: 354022694X

[SR: 10344210], Hardcover, [EAN: 9783540226949], Springer, Springer, Book, [PU: Springer], Springer, 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 formal and pedagogical way some statistical methods for studying long-range dependent processes. Furthermore, the occurrence of long-memory in economic time series might be a statistical artefact as the hyperbolic decay of the sample autoc- relation function does not necessarily derive from long-range dependent p- cesses. Indeed, the realizations of non-homogeneous processes, e.g., switching regime and change-point processes, display the same empirical features. We thus also present in this book recent statistical methods able to discriminate between the long-memory and change-point alternatives. Going beyond the purely statistical analysis of economic series, it is of interest to determine which economic mechanisms are generating the strong dependence properties of economic series, whether they are genuine, or spu- ous. The regularities of the long-memory and change-point properties across economic time series, e.g., common degree of long-range dependence and/or common change-points, suggest the existence of a common economic cause., 2586, Econometrics, 2581, Economics, 3, Business & Money, 1000, Subjects, 283155, Books, 2602, Theory, 2581, Economics, 3, Business & Money, 1000, Subjects, 283155, Books, 10020691011, Statistics, 2732, Education & Reference, 3, Business & Money, 1000, Subjects, 283155, Books, 13922, Game Theory, 226699, Applied, 13884, Mathematics, 75, Science & Math, 1000, Subjects, 283155, Books, 52161011, Statistics, 226699, Applied, 13884, Mathematics, 75, Science & Math, 1000, Subjects, 283155, Books, 491586, Economic Theory, 491584, Economics, 468220, Business & Finance, 465600, New, Used & Rental Textbooks, 2349030011, Specialty Boutique, 283155, Books, 468218, Mathematics, 491542, Algebra & Trigonometry, 491544, Calculus, 491546, Geometry, 491548, Statistics, 468216, Science & Mathematics, 465600, New, Used & Rental Textbooks, 2349030011, Specialty Boutique, 283155, Books

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Long Memory in Economics - Kirman, Alan P.; Teyssire, Gilles
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ISBN: 9783540226949

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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. Business Business eBook, Springer

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Long Memory in Economics - Alan Kirman; Editor-Gilles Teyssière; Editor-Alan P. Kirman
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Alan Kirman; Editor-Gilles Teyssière; Editor-Alan P. Kirman:
Long Memory in Economics - gebunden oder broschiert

2006, ISBN: 9783540226949

ID: 459604811

Springer, 2006-09-14. Hardcover. Very Good. Buy with confidence. Excellent Customer Service & Return policy. Ships Fast. Expedite Shipping Available., Springer, 2006-09-14

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Long Memory in Economics - Gilles Teyssière; Alan P. Kirman
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Gilles Teyssière; Alan P. Kirman:
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2006, ISBN: 9783540226949

ID: 6066046

2007, Hardcover, Buch, [PU: Springer Berlin]

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Details zum Buch
Long Memory in Economics

When applying the statistical theory of long range dependent (LRD) processes to economics, the strong complexity of macroeconomic and financial variables, compared to standard LRD processes, becomes apparent. In order to get a better understanding of the behaviour of some economic variables, the book 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; models from economic theory providing plausible micro foundations for the occurence of long memory in economics. Each chapter of the book will give a comprehensive survey of the state of the art and the directions that future developments are likely to take. Taken as a whole the book provides an overview of LRD processes which is accessible to economists, econometricians and statisticians.

Detailangaben zum Buch - Long Memory in Economics


EAN (ISBN-13): 9783540226949
ISBN (ISBN-10): 354022694X
Gebundene Ausgabe
Erscheinungsjahr: 2006
Herausgeber: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Buch in der Datenbank seit 12.06.2007 19:55:14
Buch zuletzt gefunden am 27.11.2017 10:20:24
ISBN/EAN: 9783540226949

ISBN - alternative Schreibweisen:
3-540-22694-X, 978-3-540-22694-9


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