ISBN: 354022694X
TITLE: 
AUTHOR: Tessyere/Kirman
TOC: 

Part I Statistical Methods
Recent Advances in ARCH Modelling
Liudas Giraitis, Remigijus Leipus, Donatas Surgailis 3
Intermittency, Long-Memory and Financial Returns
Raj Bhansali, Mark P. Holland, Piotr S. Kokoszka 39
The Spectrum of Euro-Dollar
Vincent Brousseau 69
Hlderian Invariance Principles and Some Applications for Testing Epidemic Changes
Alfredas Rackauskas, Charles Suquet 109
Adaptive Detection of Multiple Change-Points in Asset Price Volatility
Marc Lavielle, Gilles Teyssiere 129
Bandwidth Choice, Optimal Rates and Adaptivity in Semiparametric Estimation of Long Memory
Marc Henry 157
Wavelet Analysis of Nonlinear Long-Range Dependent Processes. Applications to Financial Time Series
Gilles Teyssiere, Patrice Abry 173
Prediction, Orthogonal Polynomials and Toeplitz Matrices. A Fast and Reliable Approximation to the Durbin-Levinson Algorithm
Djalil Kateb, Abdellatif Seghier, Gilles Teyssiere 239
Part II Economic Models
A Nonlinear Structural Model for Volatility Clustering
Andrea Gaunersdorfer, Cars Hommes 265
Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models
Rama Cont 289
The Microeconomic Foundations of Instability in Financial Markets
Alan Kirman 311
A Minimal Noise Trader Model with Realistic Time Series Properties
Simone Alfarano, Thomas Lux 345
Long Memory and Hysteresis
Christian de Peretti 363
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