Occasional Structural Breaks and Long Memory

This paper shows that a linear process with breaks can mimic autocorrelations and other properties of I(d) processes, where d can be a fraction. Simulation results show that S&P 500 absolute stock returns are more likely to show the "long memory" property because of the presence of breaks in the series rather than an I(d) process.

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Year of publication:	1999-06-01
Authors:	Granger, Clive W.J. ; Hyung, Namwon
Institutions:	Department of Economics, University of California-San Diego (UCSD)
Subject:	occasional structural breaks \| long memory \| autocorrelation

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Extent:	application/pdf
Series:	University of California at San Diego, Economics Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Department of Economics, UCSD
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010536414