Long memory in economics 1st Edition by Gilles Teyssière, Alan Kirman ISBN 3642061540 9783642061547

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Product details:
ISBN 10: 3642061540
ISBN 13: 9783642061547
Author: Gilles Teyssière, Alan Kirman

Long memory in economics 1st Edition Table of contents:

1. Introduction to Long Memory in Economics

   • Defining Long Memory and Its Relevance to Economics
   • Historical Development and Key Insights
   • Objectives and Structure of the Book

2. Mathematical Foundations of Long Memory

   • Introduction to Long-Range Dependence
   • Theoretical Models of Long Memory
   • Fractional Brownian Motion and Long Memory in Time Series
   • Estimation Techniques for Long Memory Processes

3. Empirical Evidence of Long Memory in Economic Data

   • Evidence from Financial Markets
   • Macro-Economic Indicators and Long Memory
   • Long Memory in Inflation, Unemployment, and Output
   • Analyzing Economic Cycles and Structural Breaks

4. Long Memory and Financial Markets

   • The Role of Long Memory in Asset Pricing
   • Volatility Clustering and Long Memory in Financial Returns
   • Testing Long Memory Models in Financial Markets
   • Market Efficiency and Long Memory Phenomena

5. The Impact of Long Memory on Economic Modeling

   • Incorporating Long Memory into Economic Models
   • The Role of Long Memory in Forecasting and Decision Making
   • Model Calibration and the Challenges of Long Memory
   • Long Memory and Non-Stationarity in Economic Systems

6. Behavioral Insights: Agents, Expectations, and Long Memory

   • The Role of Behavioral Economics in Long Memory Models
   • Expectations and Memory Effects in Economic Decisions
   • Heterogeneous Agents and Long Memory Dynamics
   • Cognitive Biases and Market Memory Effects

7. Long Memory and Macroeconomic Dynamics

   • Long Memory in Economic Growth Models
   • Business Cycles and Long-Run Dependencies
   • Monetary and Fiscal Policy Implications
   • Long Memory in Inflation and Output Growth

8. Applications and Policy Implications of Long Memory

   • Implications for Forecasting Economic Variables
   • Policy Design and the Role of Long Memory in Economic Stability
   • Implications for Central Banks and Financial Regulation
   • Addressing Economic Shocks in Long Memory Contexts

9. Criticisms and Controversies

   • Critiques of Long Memory Models
   • Controversial Results and Interpretations in the Literature
   • Alternatives to Long Memory: Short Memory Models and Their Applications
   • The Future of Long Memory Research in Economics

10. Conclusion

• Summary of Key Findings
• The Future of Long Memory in Economic Theory and Practice
• Open Questions and Areas for Future Research

11. Appendix

• Technical Appendices on Models and Estimation Techniques
• Data Sources and Empirical Analysis
• Glossary of Terms and Concepts
• References and Further Reading

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