Long memory vs. structural change in financial time series

zbMATH Open1177.91109MaRDI QIDQ2567526FDOQ2567526

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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