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

DOI10.1080/03610926.2017.1408827OpenAlexW2780643759MaRDI QIDQ5075573FDOQ5075573

Authors: Dong Wan Shin, Eunju 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

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zbMATH Keywords

CUSUMlong-memoryrealized volatilitystructural breakHAR 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

• Modelling structural breaks, long memory and stock market volatility: an overview
• Localized realized volatility modeling
• Threshold bipower variation and the impact of jumps on volatility forecasting
• Infinite-order, long-memory heterogeneous autoregressive models
• The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model
• Change detection in autoregressive time series
• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
• A CUSUM test for a long memory heterogeneous autoregressive model
• A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model

Cited In (6)

• Detecting structural breaks in realized volatility
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
• A multivariate long-memory model with structural breaks
• Forecasting a long memory process subject to structural breaks
• Estimation of structural mean breaks for long-memory data sets

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