Forecasting a long memory process subject to structural breaks
DOI10.1016/J.JECONOM.2013.04.006zbMATH Open1288.62142OpenAlexW2141621500MaRDI QIDQ2453079FDOQ2453079
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
Recommendations
- Forecasting long memory time series when occasional breaks occur
- Estimation of structural mean breaks for long-memory data sets
- On the forecasting ability of ARFIMA models when infrequent breaks occur
- Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
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)
Cites Work
- Time series: theory and methods.
- Some Comments on C P
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- Fractional differencing
- Estimating and Testing Linear Models with Multiple Structural Changes
- The Distribution of Realized Exchange Rate Volatility
- Testing for structural change in a long-memory environment
- Long memory processes and fractional integration in econometrics
- Modeling and pricing long memory in stock market volatility
- Testing for a change of the long-memory parameter
- Modeling and Forecasting Realized Volatility
- Long memory and regime switching
- Long memory relationships and the aggregation of dynamic models
- Small sample properties of forecasts from autoregressive models under structural breaks
- Change‐Point Estimation of Fractionally Integrated Processes
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Selection of estimation window in the presence of breaks
- Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
- Power spectrum estimation through autoregressive model fitting
Cited In (16)
- Title not available (Why is that?)
- 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?
- Forecasting Time Series Subject to Multiple Structural Breaks
- A new variant of ARFIMA process and its predictive ability
- Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
- Lassoing the HAR model: a model selection perspective on realized volatility dynamics
- Estimation of structural mean breaks for long-memory data sets
- Title not available (Why is that?)
- Locally stationary long memory estimation
- On the forecasting ability of ARFIMA models when infrequent breaks occur
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
This page was built for publication: Forecasting a long memory process subject to structural breaks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2453079)
