Forecasting a long memory process subject to structural breaks

DOI10.1016/J.JECONOM.2013.04.006MaRDI QIDQ2453079zbMATH OpenOpenAlexFDO

Authors Cindy Shin-Huei Wang, Luc Bauwens, Cheng Hsiao

Publication date 6 June 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2013.04.006

zbMATH Keywords

forecastingstructural breaklong memory processHAR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Fractional differencing
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• Power spectrum estimation through autoregressive model fitting
• Selection of estimation window in the presence of breaks
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• Some Comments on C P
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• The Distribution of Realized Exchange Rate Volatility
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Cited in

(16)

• scientific article; zbMATH DE number 4126538 (Why is no real title available?)
• Optimal forecasts in the presence of structural breaks
• Forecasting long memory time series when occasional breaks occur
• Dynamics of variance risk premia: a new model for disentangling the price of risk
• The long memory HEAVY process: modeling and forecasting financial volatility
• Infinite-order, long-memory heterogeneous autoregressive models
• (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
• Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
• Forecasting Time Series Subject to Multiple Structural Breaks
• A new variant of ARFIMA process and its predictive ability
• Estimation of structural mean breaks for long-memory data sets
• Lassoing the HAR model: a model selection perspective on realized volatility dynamics
• Locally stationary long memory estimation
• scientific article; zbMATH DE number 1069580 (Why is no real title available?)
• On the forecasting ability of ARFIMA models when infrequent breaks occur
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

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