Modelling structural breaks, long memory and stock market volatility: an overview
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Publication:265098
DOI10.1016/j.jeconom.2004.09.001zbMath1335.00139OpenAlexW2100808453MaRDI QIDQ265098
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Publication date: 1 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.09.001
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Economic time series analysis (91B84) Proceedings of conferences of miscellaneous specific interest (00B25)
Related Items (28)
Forecasting realized volatility: a review ⋮ A heuristic, iterative algorithm for change-point detection in abrupt change models ⋮ Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models ⋮ Spurious regression between long memory series due to mis-specified structural breaks ⋮ Logistic map with memory from economic model ⋮ Uniform change point tests in high dimension ⋮ Equivariant variance estimation for multiple change-point model ⋮ Concept of dynamic memory in economics ⋮ Recovering cointegration via wavelets in the presence of non-linear patterns ⋮ Change-point analysis in increasing dimension ⋮ The Volatility of Realized Volatility ⋮ Structural break detection in financial durations ⋮ Detecting structural breaks in realized volatility ⋮ Sequential monitoring of minimum variance portfolio ⋮ Change detection in linear regression with time series errors ⋮ A new simple test against spurious long memory using temporal aggregation ⋮ Unnamed Item ⋮ A simple test of changes in mean in the possible presence of long-range dependence ⋮ Testing for changes in polynomial regression ⋮ Threshold bipower variation and the impact of jumps on volatility forecasting ⋮ Testing for changes in the covariance structure of linear processes ⋮ A multivariate long-memory model with structural breaks ⋮ Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series ⋮ Bootstrap testing for discontinuities under long-range dependence ⋮ Structural breaks in time series ⋮ Macroeconomic models with long dynamic memory: fractional calculus approach ⋮ Structural breaks in panel data: Large number of panels and short length time series ⋮ Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
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