Estimation of structural mean breaks for long-memory data sets

DOI10.1080/02331888.2017.1335314MaRDI QIDQ4600788zbMATH OpenOpenAlexFDO

Authors Dong Wan Shin, Eunju Hwang

Publication date 12 January 2018

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888.2017.1335314

zbMATH Keywords

heterogeneous autoregressive modellong-memory datarealized volatility datastructural mean breaks

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(19)

• Strong rules for detecting the number of breaks in a time series
• Forecasting realized volatility: a review
• Real-time monitoring test for realized volatility
• Detecting structural breaks in realized volatility
• Long memory versus structural breaks: an overview
• Estimating multiple breaks in mean sequentially with fractionally integrated errors
• Distinguishing between breaks in the mean and breaks in persistence under long memory
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• A CUSUM test for a long memory heterogeneous autoregressive model
• Forecasting a long memory process subject to structural breaks
• Differentiating between coefficient break and volatility break
• Modelling structural breaks, long memory and stock market volatility: an overview
• A multivariate long-memory model with structural breaks
• Structural Breaks in Financial Time Series
• Fractional integration versus level shifts: the case of realized asset correlations
• scientific article; zbMATH DE number 2072568 (Why is no real title available?)
• Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
• Structural changes estimation for strongly dependent processes
• Piecewise FARIMA models for long-memory time series

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