Modelling structural breaks, long memory and stock market volatility: an overview
From MaRDI portal
Publication:265098
DOI10.1016/J.JECONOM.2004.09.001zbMath1335.00139OpenAlexW2100808453MaRDI QIDQ265098
No author found.
Publication date: 1 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.09.001
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Economic time series analysis (91B84) Proceedings of conferences of miscellaneous specific interest (00B25)
Related Items (28)
Forecasting realized volatility: a review ⋮ A heuristic, iterative algorithm for change-point detection in abrupt change models ⋮ Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models ⋮ Spurious regression between long memory series due to mis-specified structural breaks ⋮ Logistic map with memory from economic model ⋮ Uniform change point tests in high dimension ⋮ Equivariant variance estimation for multiple change-point model ⋮ Concept of dynamic memory in economics ⋮ Recovering cointegration via wavelets in the presence of non-linear patterns ⋮ Change-point analysis in increasing dimension ⋮ The Volatility of Realized Volatility ⋮ Structural break detection in financial durations ⋮ Detecting structural breaks in realized volatility ⋮ Sequential monitoring of minimum variance portfolio ⋮ Change detection in linear regression with time series errors ⋮ A new simple test against spurious long memory using temporal aggregation ⋮ Unnamed Item ⋮ A simple test of changes in mean in the possible presence of long-range dependence ⋮ Testing for changes in polynomial regression ⋮ Threshold bipower variation and the impact of jumps on volatility forecasting ⋮ Testing for changes in the covariance structure of linear processes ⋮ A multivariate long-memory model with structural breaks ⋮ Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series ⋮ Bootstrap testing for discontinuities under long-range dependence ⋮ Structural breaks in time series ⋮ Macroeconomic models with long dynamic memory: fractional calculus approach ⋮ Structural breaks in panel data: Large number of panels and short length time series ⋮ Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
Cites Work
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
- A joint test of fractional integration and structural breaks at a known period of time
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- WHITTLE ESTIMATION OF ARCH MODELS
- Gaussian Semi‐parametric Estimation of Fractional Cointegration
- Error Correction Models for Fractionally Cointegrated Time Series
- A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
- Cointegration in Fractional Systems with Unknown Integration Orders
- A Fractional Dickey-Fuller Test for Unit Roots
- Past and Future
- Wavelet estimator of long-range dependent processes.
- The average periodogram for nonstationary vector time series
- Long memory and regime switching
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A semiparametric two-step estimator in a multivariate long memory model
- Selection of the break in the Perron-type tests
- Structural breaks with deterministic and stochastic trends
- Neglecting parameter changes in GARCH models
- Robust GMM tests for structural breaks
- Small sample properties of forecasts from autoregressive models under structural breaks
- A parametric bootstrap test for cycles
- Cointegration in fractional systems with deterministic trends
- Renewal regime switching and stable limit laws
- Testing for structural change in regression with long memory processes
- 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?
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Approach to an irregular time series on the basis of the fractal theory
- Long memory relationships and the aggregation of dynamic models
- On large-sample estimation for the mean of a stationary random sequence
- A simple nonlinear time series model with misleading linear properties
- Likelihood ratio tests for multiple structural changes
- Testing parameter constancy in linear models against stochastic stationary parameters
- Nonlinear time series with long memory: A model for stochastic volatility
- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- Semiparametric analysis of long-memory time series
- On the power of unit root tests against fractional alternatives
- Testing the constancy of regression parameters against continuous structural change
- Estimation of the fractionally differencing parameter with the R/S method
- Further evidence on breaking trend functions in macroeconomic variables
- The detection and estimation of long memory in stochastic volatility
- Gaussian inference on certain long-range dependent volatility models
- Estimating fractional cointegration in the presence of polynomial trends
- Bilateral bootstrap tests for long memory: an application to the Silver market
- Long memory and stochastic trend.
- Testing for structural change in conditional models
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Modeling long memory in stock market volatility
- Memory and infrequent breaks
- Structural changes in the cointegrated vector autoregressive model
- Narrow-band analysis of nonstationary processes
- Determination of cointegrating rank in fractional systems.
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Rescaled variance and related tests for long memory in volatility and levels
- Local Whittle estimation in nonstationary and unit root cases.
- Log-periodogram regression of time series with long range dependence
- Recent developments in the econometrics of structural change
- Testing for structural change in a long-memory environment
- Gaussian semiparametric estimation of long range dependence
- Inference for unstable long-memory processes with applications to fractional unit root autoregressions
- Long memory processes and fractional integration in econometrics
- Long memory continuous time models
- Estimating a generalized long memory process
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
- Averaged periodogram estimation of long memory
- An Efficient Taper for Potentially Overdifferenced Long-memory Time Series
- Long memory in continuous-time stochastic volatility models
- Cointegration analysis in the presence of structural breaks in the deterministic trend
- Residual-Based Tests For Fractional Cointegration: A Monte Carlo Study
- Spectral Regression For Cointegrated Time Series With Long-Memory Innovations
- Testing for the Presence of a Random Walk in Series with Structural Breaks
- Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
- Averaged Periodogram Spectral Estimation with Long-memory Conditional Heteroscedasticity
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
- A Suggested Statistical Model of some Time Series which occur in Nature
- Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The Fractional Unit Root Distribution
- Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
- FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS
- Multiple Time Series Regression with Integrated Processes
- Tests for Hurst effect
- Testing for Common Trends
- Testing for the Constancy of Parameters Over Time
- Testing for a change of the long-memory parameter
- Testing for a Structural Break at Unknown Date with Long-memory Disturbances
- Bayesian analysis of autoregressive fractionally integrated moving-average processes
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Weak convergence to fractional brownian motion and to the rosenblatt process
- ON GENERALIZED FRACTIONAL PROCESSES
- A Nonparametric Test for I(0)
- Change‐Point Estimation of Fractionally Integrated Processes
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- Long-Term Memory in Stock Market Prices
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
- On a class of M-estimators for Gaussian long-memory models
- Efficient Tests of Nonstationary Hypotheses
- Semiparametric robust tests on seasonal or cyclical long memory time series
- Critical values for multiple structural change tests
- Random coefficient autoregression, regime switching and long memory
- Some tests for parameter constancy in cointegrated VAR‐models
- ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
- Estimating and Testing Linear Models with Multiple Structural Changes
This page was built for publication: Modelling structural breaks, long memory and stock market volatility: an overview
