Long Memory In Economics

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Long Memory In Economics

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Author : Gilles Teyssière
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-09-22

Long Memory In Economics written by Gilles Teyssière and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-09-22 with Business & Economics categories.

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.

Long Memory Processes

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Author : Jan Beran
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-05-14

Long Memory Processes written by Jan Beran and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-14 with Mathematics categories.

Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.

Economics And History

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Author : David Greasley
language : en
Publisher: John Wiley & Sons
Release Date : 2011-10-13

Economics And History written by David Greasley and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-13 with Business & Economics categories.

Economics and History presents six state-of-the-art surveys from some of the leading scholars in cliometrics. The contributions are all written at an accessible level for the non-specialist reader and consider a broad range of issues from this highly topical area. Written clearly and comprehensively, allowing easy accessibility for the non-specialist reader Brings together the very latest research in this highly topical subject from leading scholars Contributions cover a broad range of areas within this subject The latest publication in the highly successful Surveys of Recent Research in Economics Book Series

Mathematical Economics

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Author : Vasily E. Tarasov
language : en
Publisher: MDPI
Release Date : 2020-06-03

Mathematical Economics written by Vasily E. Tarasov and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-03 with Business & Economics categories.

This book is devoted to the application of fractional calculus in economics to describe processes with memory and non-locality. Fractional calculus is a branch of mathematics that studies the properties of differential and integral operators that are characterized by real or complex orders. Fractional calculus methods are powerful tools for describing the processes and systems with memory and nonlocality. Recently, fractional integro-differential equations have been used to describe a wide class of economical processes with power law memory and spatial nonlocality. Generalizations of basic economic concepts and notions the economic processes with memory were proposed. New mathematical models with continuous time are proposed to describe economic dynamics with long memory. This book is a collection of articles reflecting the latest mathematical and conceptual developments in mathematical economics with memory and non-locality based on applications of fractional calculus.

Statistics For Long Memory Processes

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Author : Jan Beran
language : en
Publisher: CRC Press
Release Date : 1994-10-01

Statistics For Long Memory Processes written by Jan Beran and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-10-01 with Mathematics categories.

Statistical Methods for Long Term Memory Processes covers the diverse statistical methods and applications for data with long-range dependence. Presenting material that previously appeared only in journals, the author provides a concise and effective overview of probabilistic foundations, statistical methods, and applications. The material emphasizes basic principles and practical applications and provides an integrated perspective of both theory and practice. This book explores data sets from a wide range of disciplines, such as hydrology, climatology, telecommunications engineering, and high-precision physical measurement. The data sets are conveniently compiled in the index, and this allows readers to view statistical approaches in a practical context. Statistical Methods for Long Term Memory Processes also supplies S-PLUS programs for the major methods discussed. This feature allows the practitioner to apply long memory processes in daily data analysis. For newcomers to the area, the first three chapters provide the basic knowledge necessary for understanding the remainder of the material. To promote selective reading, the author presents the chapters independently. Combining essential methodologies with real-life applications, this outstanding volume is and indispensable reference for statisticians and scientists who analyze data with long-range dependence.

Large Sample Inference For Long Memory Processes

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Author : Donatas Surgailis
language : en
Publisher: World Scientific Publishing Company
Release Date : 2012-04-27

Large Sample Inference For Long Memory Processes written by Donatas Surgailis and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-04-27 with Mathematics categories.

Box and Jenkins (1970) made the idea of obtaining a stationary time series by differencing the given, possibly nonstationary, time series popular. Numerous time series in economics are found to have this property. Subsequently, Granger and Joyeux (1980) and Hosking (1981) found examples of time series whose fractional difference becomes a short memory process, in particular, a white noise, while the initial series has unbounded spectral density at the origin, i.e. exhibits long memory.Further examples of data following long memory were found in hydrology and in network traffic data while in finance the phenomenon of strong dependence was established by dramatic empirical success of long memory processes in modeling the volatility of the asset prices and power transforms of stock market returns.At present there is a need for a text from where an interested reader can methodically learn about some basic asymptotic theory and techniques found useful in the analysis of statistical inference procedures for long memory processes. This text makes an attempt in this direction. The authors provide in a concise style a text at the graduate level summarizing theoretical developments both for short and long memory processes and their applications to statistics. The book also contains some real data applications and mentions some unsolved inference problems for interested researchers in the field./a

Long Memory In Economics

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Author : Gilles Teyssière
language : en
Publisher: Springer
Release Date : 2009-09-02

Long Memory In Economics written by Gilles Teyssière and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-09-02 with Business & Economics categories.

Econophysics And Financial Economics

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Author : Franck Jovanovic
language : en
Publisher: Oxford University Press
Release Date : 2017

Econophysics And Financial Economics written by Franck Jovanovic and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Business & Economics categories.

This book provides the first extensive analytic comparison between models and results from econophysics and financial economics in an accessible and common vocabulary. Unlike other publications dedicated to econophysics, it situates this field in the evolution of financial economics by laying the foundations for common theoretical framework and models.

Studies In International Economics And Finance

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Author : Naoyuki Yoshino
language : en
Publisher: Springer Nature
Release Date : 2022-03-30

Studies In International Economics And Finance written by Naoyuki Yoshino and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-03-30 with Business & Economics categories.

This festschrift volume presents discussions on contemporary issues in international economics and finance. It is aimed to serve as a reference material for researchers. There are two broad sections of the book -- International Macroeconomics and International Finance. The chapters in the International Macroeconomics section discuss critical topics like aggregate level macro model for India with a new Keynesian perspective, balance of payments, service sector exports, foreign exchange constraints for import demands, foreign direct investment and knowledge spill over, the relationship between forex rate fluctuation and investment, Institutional quality-trade openness-economic growth nexus, currency crises and debt-deficit relationship in the BRICS countries in the backdrop of COVID-19. Apart from these, various analytical issues related to macroeconomic policies are also covered in this section. The topics discussed includes the nature of forex market interventions, the issue of disinvestment and privatization, changing nature of fiscal policy, the inflation-growth nexus, macroeconomic simulation modelling, measuring core inflation, central bank credibility, monetary policy, inflation targeting, Infrastructure, trade, unemployment and inequality nexus. In the International Finance section, topics such as COVID-19 induced financial crisis, commodity futures volatility, stock market connectivity, volatility persistence, determinants of sovereign bond yields, FII and stock market volatility, cryptocurrency price formation, financialization of Indian commodity market, and a Keynesian view of the financial crisis are discussed. Overall, thirty two chapters in the volume discuss cutting edge research in the areas of the two sections. A tour de force... a lucid guide to some of the diverse and complex issues in International Macroeconomics and Finance. This collection of scholarly works is a fitting tribute to respected Prof. Bandi Kamaiah and his enviable academic contributions. - Prof. Y V Reddy, Former Governor, Reserve Bank of India This volume comprising thoughtful essays by our leading scholars on some of important policy issues that India is facing is indeed a rich tribute to Professor Bandi Kamaiah . This book will greatly benefit the academic community as well as our policy makers. - Prof. Vijay Kelkar, Chairman, 13th Finance Commission of India; Chairman, India Development Foundation, Mumbai, India Noted economists from India and abroad gather to apply the rigorous searchlight that Professor Bandi Kamaiah used so effectively in his career. Major current topics in macroeconomics and international finance are effectively explored in the volume. - Prof. Ashima Goyal, Emeritus Professor, Indira Gandhi Institute of Development Research, Mumbai, India; and Member, Monetary Policy Committee of Reserve Bank of India This volume of 32 papers in macroeconomics, international economics, and international finance is intended as a tribute to the eminent econometrician , Prof B Kamaiah. Post-graduate students and researchers will find much valuable literature in the volume, which is a fitting tribute to Prof Kamaiah. The editors and authors deserve rich compliments. - Prof. K L Krishna, Former Director, Delhi School of Economics, New Delhi, India I am so happy to hear that Dr. Kamaiah's colleagues and ex-students are bringing out a special volume of articles in his honor. Nothing can be more appropriate. Dr. Kamaiah, being a man of tremendous publications, deserves this tribute. I wish all the luck and success to the new book. - Prof. Kishore Kulkarni, Distinguished Professor of Economics, Metropolitan State University of Denver, USA

Handbook Of Financial Markets Dynamics And Evolution

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Author : Thorsten Hens
language : en
Publisher: Elsevier
Release Date : 2009-06-12

Handbook Of Financial Markets Dynamics And Evolution written by Thorsten Hens and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-12 with Business & Economics categories.

The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. - Explains the market dynamics of asset prices, offering insights about asset management approaches - Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics