Abrupt changes in the unconditional variance of returns have been recently revealed in many empirical studies. In this paper, we show that traditional KPSS-based tests have a low power against nonstationarities stemming from changes in the unconditional variance. More precisely, we show that...

Since the seminal paper of Granger & Joyeux (1980), the concept of a long memory has focused the attention of many statisticians and econometricians trying to model and measure the persistence of stationary processes. Many methods for estimating d, the long-range dependence parameter, have been...

This paper addresses the issue of estimating the number of breaks and their locations in the monthly US inflation series using two different approaches to testing for structural changes. The first approach considers Bai and Perron's selection procedure based on a sequence of tests. This approach...

This paper is a contribution in exploring the empirical evidence of the instability in the tail behaviour returns of stock market indices, based on some developments in the analysis of structural change models. The proposed approach can jointly determine the number of structural breaks in a...