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

DOI10.1016/J.ECONLET.2014.06.029zbMATH Open1303.60025OpenAlexW2090165059MaRDI QIDQ485701FDOQ485701

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17)

Cites Work

• Title not available (Why is that?)
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
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• Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Long-Term Memory in Stock Market Prices
• Modeling and Forecasting Realized Volatility
• Long memory versus structural breaks: an overview
• Infinite-order, long-memory heterogeneous autoregressive models
• Modelling and forecasting noisy realized volatility
• A CUSUM test for a long memory heterogeneous autoregressive model

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

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