Modelling structural breaks, long memory and stock market volatility: an overview
نویسندگان
چکیده
منابع مشابه
Long-memory versus structural breaks: An overview
We discuss the increasing literature on misspecifying structural breaks or more general trends as long range dependence We consider tests on structural breaks in the long memory regression model as well as the behaviour of estimators of the memory parameter when structural breaks or trends are in the data but long memory is not It can be seen that it is hard to distinguish deterministic trends ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2005
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2004.09.001