Fractional integration versus level shifts: the case of realized asset correlations
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Publication:379926
DOI10.1007/S00362-013-0513-2zbMATH Open1416.62653OpenAlexW1975441639MaRDI QIDQ379926FDOQ379926
Authors: Philip Bertram, Robinson Kruse, Philipp Sibbertsen 
Publication date: 11 November 2013
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-013-0513-2
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Cites Work
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- Long memory vs. structural change in financial time series
- Likelihood inference for discriminating between long-memory and change-point models
- Testing and dating of structural changes in practice
Cited In (6)
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- Nearest neighbors estimation for long memory functional data
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- Sequential monitoring of portfolio betas
- Lack of fit test for long memory regression models
- Long memory and changepoint models: a spectral classification procedure
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