Long-term dependency structure and structural breaks : evidence from the U.S. sector returns and volatility
Geoffrey Ngene, Ann Nduati Mungai, Allen K. Lynch
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Ngene, Geoffrey ; Mungai, Ann Nduati ; Lynch, Allen K. |
| Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 21.2018, 2, p. 1-38
|
| Subject: | Long memory | structural break | fractional differencing | sectors | Strukturbruch | Structural break | USA | United States | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Kapitaleinkommen | Capital income | Börsenkurs | Share price | ARMA-Modell | ARMA model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S021909151850008X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011865593