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Long Memory in Economics,2007

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
H¨olderian Invariance Principles and Some Applications for
Testing Epidemic Changes
Alfredas Raˇckauskas, Charles Suquet. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
Adaptive Detection of Multiple Change–Points in Asset Price
Volatility
Marc Lavielle, Gilles Teyssi`ere . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 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 Teyssi`ere, Patrice Abry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173

Prediction, Orthogonal Polynomials and Toeplitz Matrices.
A Fast and Reliable Approximation to the Durbin–Levinson
Algorithm
Djalil Kateb, Abdellatif Seghier, Gilles Teyssi`ere . . . . . . . . . . . . . . . . . . . . . 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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