Time Series with Long Memory or The Diversity of Modern Capitalism

Time Series with Long Memory (Advanced Texts in Econometrics Series)

Author: Peter M Robinson

Time Series with Long Memory comprises a collection on time series analysis. Long memory time series are characterized by a strong dependence between distant events. Various methods and their theoretical properties are discussed with empirical applications. The methods constitute a very flexible approach to analyzing time series data arising in economics, finance and other fields.

Table of Contents:

	Introduction	1
	References	3
1	Long-memory Time Series	4
2	On Large-sample Estimation for the Mean of a Stationary Random Sequence	33
3	An Introduction to Long-memory Time Series Models and Fractional Differencing	49
4	Large-sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series	65
5	Long-term Memory in Stock Market Prices	82
6	The Estimation and Application of Long-memory Time Series Models	119
7	Gaussian Semiparametric Estimation of Long-range Dependence	138
8	Testing for Strong Serial Correlation and Dynamic Conditional Heteroskedasticity in Multiple Regression	175
9	The Detection and Estimation of Long Memory in Stochastic Volatility	191
10	Efficient Tests of Nonstationary Hypotheses	214
11	Estimation of the Memory Parameter for Nonstationary or Noninvertible Fractionally Integrated Processes	251
12	Limit Theorems for Regressions with Unequal and Dependent Errors	278
13	Time Series Regression with Long-range Dependence	305
14	Semiparametric Frequency Domain Analysis of Fractional Cointegration	334
	Index	375

Interesting textbook: New Light on Depression or Madness

The Diversity of Modern Capitalism

Author: Bruno Amabl

This book proposes a comparative analysis of modern capitalism. It identifies five different types of modern economies: the market-based economies, Asian capitalism, the Continental European model, the social democratic economies, and the Mediterranean model. It presents their main institutional characteristics and relates the different models their political and economic dynamics. The book also assesses the likely future of the Continental European model, making a significant contribution to the 'varieties of capitalism' debate.