Long Memory in Economics by Liudas Giraitis, Remigijus Leipus, Donatas Surgailis PDF

By Liudas Giraitis, Remigijus Leipus, Donatas Surgailis (auth.), Dr. Gilles Teyssière, Professor Alan P. Kirman (eds.)

ISBN-10: 354022694X

ISBN-13: 9783540226949

ISBN-10: 3540346252

ISBN-13: 9783540346258

When employing the statistical thought of lengthy diversity based (LRD) techniques to economics, the powerful complexity of macroeconomic and fiscal variables, in comparison to general LRD procedures, turns into obvious. with a view to get a greater figuring out of the behaviour of a few fiscal variables, the booklet assembles 3 diverse strands of lengthy reminiscence research: statistical literature at the homes of, and exams for, LRD approaches; mathematical literature at the stochastic approaches concerned; versions from monetary idea supplying believable micro foundations for the occurence of lengthy reminiscence in economics. every one bankruptcy of the booklet will provide a accomplished survey of the cutting-edge and the instructions that destiny advancements tend to take. Taken as an entire the e-book offers an outline of LRD approaches that is obtainable to economists, econometricians and statisticians.

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2002b). Probabilistic and statistical properties of GARCH processes. Fields Institute Communications, forthcoming. 10. Berkes, I. and Horv` ath, L. (2003a). Limit results for the empirical process of squared residuals in GARCH models. Stochastic Processes and their Applications, 105, 271–298. 11. Berkes, I. and Horv` ath, L. (2003b). Asymptotic results for long memory LARCH sequences. Annals of Applied Probability, 13, 641–668. 12. Berkes, I. and Horv` ath, L. (2004). The efficiency of the estimators of the parameters in GARCH processes.

2. 0), the estimated density increases monotonically with w. 0], an explicit analytic form for the invariant density is not as yet available. 1 was adopted. , m + T }, with m = 107 − 104 , were actually used for computing the estimated correlations and the related statistics, and thus the first m generated values of wt were discarded so as to avoid the possible ’transient’ effects.

An alternative to Markov regime switching (which generally leads to short memory processes) is renewal regime switching, with independent and heavy tailed consecutive regime durations. Empirical evidence of heavy tailed regime durations is discussed in Jensen and Liu (2001) (lengths of the US business cycle’s), Chow and Liu (1999) (dividend series from the CRSP data), Liu (2000) (daily S&P composite price index). Jensen and Liu (2001), Gourieroux and Jasiak (2001) argue that regime switching with heavy tails may lead to a new forecasting methodology, as an alternative to FARIMA forecasting.

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Long Memory in Economics by Liudas Giraitis, Remigijus Leipus, Donatas Surgailis (auth.), Dr. Gilles Teyssière, Professor Alan P. Kirman (eds.)

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