Modelling structural breaks, long memory and stock market volatility: an overview (Q265098): Difference between revisions

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scientific article

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English	Modelling structural breaks, long memory and stock market volatility: an overview	scientific article

Statements

scholarly article

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Modelling structural breaks, long memory and stock market volatility: an overview (English)

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Journal of Econometrics

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publication date

1 April 2016

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zbMATH Keywords

structural breaks

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long memory

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volatility

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2004.09.001

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On large-sample estimation for the mean of a stationary random sequence

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Tests for Parameter Instability and Structural Change With Unknown Change Point

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Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

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Semiparametric robust tests on seasonal or cyclical long memory time series

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Likelihood ratio tests for multiple structural changes

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Estimating and Testing Linear Models with Multiple Structural Changes

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Critical values for multiple structural change tests

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Long memory processes and fractional integration in econometrics

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Wavelet estimator of long-range dependent processes.

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On a class of <i>M</i>-estimators for Gaussian long-memory models

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Testing for a change of the long-memory parameter

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Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data

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The detection and estimation of long memory in stochastic volatility

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Testing for the Presence of a Random Walk in Series with Structural Breaks

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FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS

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Inference for unstable long-memory processes with applications to fractional unit root autoregressions

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Estimating fractional cointegration in the presence of polynomial trends

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Estimating a generalized long memory process

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A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS

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Long memory continuous time models

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Long memory in continuous-time stochastic volatility models

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A parametric bootstrap test for cycles

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A model of fractional cointegration, and tests for cointegration using the bootstrap.

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Tests for Hurst effect

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Bilateral bootstrap tests for long memory: an application to the Silver market

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Long memory and regime switching

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Residual-Based Tests For Fractional Cointegration: A Monte Carlo Study

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Error Correction Models for Fractionally Cointegrated Time Series

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A Fractional Dickey-Fuller Test for Unit Roots

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Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models

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Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation

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Recent developments in the econometrics of structural change

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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Robust GMM tests for structural breaks

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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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A joint test of fractional integration and structural breaks at a known period of time

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WHITTLE ESTIMATION OF ARCH MODELS

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Rescaled variance and related tests for long memory in volatility and levels

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Memory and infrequent breaks

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Long memory relationships and the aggregation of dynamic models

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AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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A simple nonlinear time series model with misleading linear properties

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ON GENERALIZED FRACTIONAL PROCESSES

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ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION

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Testing for structural change in conditional models

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Structural changes in the cointegrated vector autoregressive model

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Some tests for parameter constancy in cointegrated VAR‐models

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On the power of unit root tests against fractional alternatives

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Estimation of the fractionally differencing parameter with the R/S method

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Past and Future

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Averaged Periodogram Spectral Estimation with Long-memory Conditional Heteroscedasticity

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Testing for structural change in a long-memory environment

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Approach to an irregular time series on the basis of the fractal theory

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Neglecting parameter changes in GARCH models

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Fractional differencing

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A Suggested Statistical Model of some Time Series which occur in Nature

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An Efficient Taper for Potentially Overdifferenced Long-memory Time Series

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ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS

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Cointegration analysis in the presence of structural breaks in the deterministic trend

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Change‐Point Estimation of Fractionally Integrated Processes

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Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

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Least‐squares Estimation of an Unknown Number of Shifts in a Time Series

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Testing for structural change in regression with long memory processes

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On the power of the KPSS test of stationarity against fractionally-integrated alternatives

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Random coefficient autoregression, regime switching and long memory

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Long memory and stochastic trend.

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Renewal regime switching and stable limit laws

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Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

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Testing the constancy of regression parameters against continuous structural change

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Testing parameter constancy in linear models against stochastic stationary parameters

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Modeling long memory in stock market volatility

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Long-Term Memory in Stock Market Prices

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A semiparametric two-step estimator in a multivariate long memory model

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Averaged periodogram estimation of long memory

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A Nonparametric Test for I(0)

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Spectral Regression For Cointegrated Time Series With Long-Memory Innovations

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Selection of the break in the Perron-type tests

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Testing for the Constancy of Parameters Over Time

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Bayesian analysis of autoregressive fractionally integrated moving-average processes

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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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Further evidence on breaking trend functions in macroeconomic variables

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Structural breaks with deterministic and stochastic trends

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Small sample properties of forecasts from autoregressive models under structural breaks

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Multiple Time Series Regression with Integrated Processes

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Local Whittle estimation in nonstationary and unit root cases.

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Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes

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Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

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Log-periodogram regression of time series with long range dependence

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Semiparametric analysis of long-memory time series

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Efficient Tests of Nonstationary Hypotheses

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Gaussian semiparametric estimation of long range dependence

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Cointegration in Fractional Systems with Unknown Integration Orders

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Cointegration in fractional systems with deterministic trends

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The average periodogram for nonstationary vector time series

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Narrow-band analysis of nonstationary processes

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Determination of cointegrating rank in fractional systems.

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Nonlinear time series with long memory: A model for stochastic volatility

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A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION

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The Fractional Unit Root Distribution

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Testing for Common Trends

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Weak convergence to fractional brownian motion and to the rosenblatt process

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ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY

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Gaussian Semiparametric Estimation of Non-stationary Time Series

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Gaussian Semi‐parametric Estimation of Fractional Cointegration

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Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

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Testing for a Structural Break at Unknown Date with Long-memory Disturbances

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Gaussian inference on certain long-range dependent volatility models

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JECONOM.2004.09.001

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Sitelinks

Mathematics(1 entry)

mardi Publication:265098

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