Modelling and detecting structural changes in GARCH processes have attracted a great amount of attention in econometrics over the past few years. We generalize Dahlhaus and Rao (2006)’s time varying ARCH processes to time varying GARCH processes and show the consistency of the weighted quasi maximum likelihood estimator. A class of generalized likelihood ratio tests are proposed to check smooth...

This paper contributes to the literature on forecasting realized volatility of oil and gold by (i) utilizing Infinite Hidden Markov (IHM) switching model within Heterogeneous Autoregressive (HAR) framework accommodate structural breaks in data (ii) incorporating, for first time literature, various sentiment indicators that proxy speculative hedging tendencies investors these markets as predicto...

The paper examines the long-run relationships between the spot and future prices of Istanbul Stock Exchange 30 index (ISE-30) and foreign currencies including the Turkish Lira-US Dollar (TL/USD) and Turkish Lira-Euro (TL/EUR). We analyze the weekly data covering the period from February 9, 2005 to October 17, 2012. Considering structural breaks is important for our analysis since our period con...

This paper uses newly available long-span data on real per capita incomes from 1900-2001 to test for stochastic convergence in a diverse group of 29 countries. To perform our tests, we utilize the two-break LM unit root test of Lee and Strazicich (2003) and endogenously determine two distinct structural breaks in level and trend for each country. Despite including both OECD and non-OECD countri...

Structural Breaks in the Real Exchange Rate Adjustment Mechanism Laurence Copeland and Saeed Heravi We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterised by structural breaks which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition AutoRegressive of the kind introduced by Lundbergh et al (2003), we sho...