Long Memory in Economics

DOI10.1007/978-3-540-34625-8MaRDI QIDQ3419564zbMATH OpenOpenAlexFDO

Authors

Publication date 7 February 2007

Full work available at URL https://doi.org/10.1007/978-3-540-34625-8

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cited in

(19)

• Productivity with fatigue and long memory: fractional calculus approach
• The fine-structure of volatility feedback. I: Multi-scale self-reflexivity
• Szegő's theorem and its probabilistic descendants
• Fractional nonlinear dynamics of learning with memory
• Nonlocal statistical mechanics: general fractional Liouville equations and their solutions
• Dynamic intersectoral models with power-law memory
• Concept of dynamic memory in economics
• Self-organization with memory
• Harrod-Domar growth model with memory and distributed lag
• Series representation of the pricing formula for the European option driven by space-time fractional diffusion
• Measuring contagion of subprime crisis based on MVMQ-CAViaR method
• Macroeconomic models with long dynamic memory: fractional calculus approach
• Marked empirical processes for non-stationary time series
• On the effect of long-range dependence on extreme value copula estimation with fixed marginals
• Empirical analysis of structural change in credit default swap volatility
• Nonlinear growth model with long memory: generalization of Haavelmo model
• Dynamic Modeling via Autoregressive Conditional GB2 for Cross-Sectional Maxima of Financial Time Series Data
• Optimal control of impulsive Volterra equations with variable impulse times
• A two-sample test for comparison of long memory parameters

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