Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models

DOI10.1080/03610926.2017.1408827OpenAlexW2780643759MaRDI QIDQ5075573

Dong Wan Shin, Eun-Ju Hwang

Publication date: 16 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1408827

zbMATH Keywords

CUSUMstructural breakrealized volatilitylong-memoryHAR modelparameter constancy

Mathematics Subject Classification ID

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

Cites Work

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• Localized Realized Volatility Modeling