Distinguishing between breaks in the mean and breaks in persistence under long memory

DOI10.1016/J.ECONLET.2020.109338zbMath1452.62686OpenAlexW3037998279MaRDI QIDQ2208689

Simon Wingert, Philipp Sibbertsen, Mwasi Paza Mboya

Publication date: 3 November 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109338

zbMATH Keywords

long memorystructural breakchanging persistence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Jump processes on general state spaces (60J76)

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