Long Memory in Economics 2007

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1、LongMemoryinEconomicsGillesTeyssire´AlanP.KirmanEditorsLongMemoryinEconomicsWith116Figuresand50Tables12Dr.GillesTeyssireUniversitParis1LaboratoiredeStatistiqueAppliqueetdeModlisationStochastique(SAMOS)PanthonSorbonneCentrePierreMends90ruedeTolbiac75634ParisCedex13Fr

2、anceProfessorAlanP.KirmanUniversitAix-MarseilleIIIL'EcoledesHautesEtudesenSciencesSociales(EHESS)2ruedelaCharit13002MarseilleFranceISBN-103-540-22694-XSpringerBerlinHeidelbergNewYorkISBN-13978-3-540-22694-9SpringerBerlinHeidelbergNewYorkCataloging-in-PublicationDataLib

3、raryofCongressControlNumber:2005930460Thisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillus-trations,recitation,broadcasting,reproductiononmicrofilmorinanyotherway,ands

4、torageindatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer-Verlag.ViolationsareliableforprosecutionundertheGermanCopyright

5、Law.SpringerisapartofSpringerScience+BusinessMediaspringeronline.com°SpringerBerlin´Heidelberg2007PrintedinGermanyTheuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispublica-tiondoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfr

6、omtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.Hardcover-Design:ErichKirchner,HeidelbergSPIN1130866943/3100-543210±Printedonacid-freepaperPrefaceLong–rangedependent,orlong–memory,timeseriesarestationarytimeseriesdisplayingastatisticallysignifican

7、tdependencebetweenverydistantobser-vations.Weformalizethisdependencebyassumingthattheautocorrelationfunctionofthesestationaryseriesdecaysveryslowly,hyperbolically,asafunctionofthetimelag.Manyeconomicseriesdisplaytheseempiricalfeatures:volatilityofassetpricesreturns,fut

8、ureinterestrates,etc.Thereisahugestatisticalliteratureonlong–memoryprocesses,someofthisresearchishighlytechnical,soth