Structural change as an alternative to long memory in financial time series

DOI10.1016/S0731-9053(05)20027-0MaRDI QIDQ3571983zbMATH OpenFDO

Authors Tze Leung Lai, Haipeng Xing

Publication date 30 June 2010

Published in Advances in Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0731-9053(05)20027-0

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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• The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
• On the origin of high persistence in GARCH-models
• Long memory of financial time series and hidden Markov models with time-varying parameters

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