Long memory vs. structural change in financial time series

MaRDI QIDQ2567526zbMATH OpenFDO

Authors Philipp Sibbertsen, Walter Krämer, Christian Kleiber

Publication date 11 October 2005

Published in AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cited in

(3)

• On discriminating between long-range dependence and changes in mean
• Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
• Fractional integration versus level shifts: the case of realized asset correlations

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