Cover Image

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.
Year of publication:
2013
Authors: Granger, Clive W.J. ; Hyung, Namwon
Published in:
Annals of Economics and Finance. - China Economics and Management Academy, ISSN 1529-7373. - Vol. 14.2013, 2, 12, p. 739-764
Publisher: China Economics and Management Academy
Extent:
application/pdf
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10010819319
Similar items by person