Fractional integration and structural breaks at unknown periods of time

DOI10.1111/j.1467-9892.2007.00550.xzbMath1165.62065MaRDI QIDQ3608192

Luis A. Gil-Alana

Publication date: 28 February 2009

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://www.unav.edu/documents/10174/6546776/1188405693_WP_Gil_Alana_01.pdf

zbMATH Keywords

long memory; structural change; deterministic trends

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62C05: General considerations in statistical decision theory

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