Fractional integration versus level shifts: the case of realized asset correlations

DOI10.1007/s00362-013-0513-2zbMath1416.62653OpenAlexW1975441639MaRDI QIDQ379926

Philip Bertram, Philipp Sibbertsen, Robinson Kruse

Publication date: 11 November 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-013-0513-2

zbMATH Keywords

fractional integrationlong memorystructural breaksrealized correlation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

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Uses Software

• longmemo

Cites Work

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• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• The Cusum Test with Ols Residuals
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• Likelihood inference for discriminating between long‐memory and change‐point models
• How can we Define the Concept of Long Memory? An Econometric Survey
• Modeling and Forecasting Realized Volatility
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Long memory and regime switching
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