Simple (but effective) tests of long memory versus structural breaks
Year of publication: |
2006-12
|
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Authors: | Shimotsu, Katsumi |
Institutions: | Economics Department, Queen's University |
Subject: | long memory | fractional integration | structural breaks | realized volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 1101 44 pages |
Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models |
Source: |
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Simple (but effective) tests of long memory versus structural breaks
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