The functional central limit theorem and structural change test for the HAR() model

DOI10.1016/J.ECONLET.2014.06.029MaRDI QIDQ485701zbMATH OpenOpenAlexFDO

Authors Oesook Lee

Publication date 14 January 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.06.029

zbMATH Keywords

CUSUMfunctional central limit theoremstructural break\(L_2\)-NED\(\mathrm{HAR}(\infty)\) model

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17)

Recommendations

• Stationarity and functional central limit theorem for ARCH(\(\infty\)) models
• Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
• The functional central limit theorem for ARMA-GARCH processes
• The functional central limit theorem for linear processes with strong near-epoch dependent innovations
• An extension of the Csörgő-Horváth functional limit theorem and its applications to changepoint problems
• On the functional central limit theorem for stationary processes
• Functional central limit theorem for additive functionals of \(\alpha \)-stable processes

Cites work

• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A CUSUM test for a long memory heterogeneous autoregressive model
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
• Fractional differencing
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Infinite-order, long-memory heterogeneous autoregressive models
• Long memory versus structural breaks: an overview
• Long-Term Memory in Stock Market Prices
• Modeling and Forecasting Realized Volatility
• Modelling and forecasting noisy realized volatility

Cited in

(5)

• Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
• Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
• A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
• Forecasting realized volatility: a review
• Cointegrated dynamics for a generalized long memory process: application to interest rates

This page was built for publication: The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q485701)