Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of risk and financial management : JRFM 13 (2020) 10/248, pp. 1-18
-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series …. The structural breaks in the series are identified using the Bai and Perron procedure, and in each segment, Multifractal … fluctuations across all the structural segments. This confirms that long memory in the series is not affected by the structural …