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Long memory or structural break : evidence from the Tehran stock market
Kashi, Mansoor; Hosseini, Seyed Hasan; Jeshvaghani, … - In: International journal of procurement management 12 (2019) 4, pp. 425-440
Persistent link: https://www.econbiz.de/10012138470
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A nonlinear autoregressive conditional duration model with applications to financial transaction
Zhang, Michael Yuanjie; Russel, Jeffrey R.; Tsay, Ruey S. - In: Journal of econometrics 104 (2001) 1, pp. 179-207
Persistent link: https://www.econbiz.de/10001589535
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A new test on asset return predictability with structural breaks
Cai, Zongwu; Chang, Seong Yeon - 2022
Persistent link: https://www.econbiz.de/10012888261
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A CUSUMSQ Test for Structural Breaks in Error Variance for a Long Memory Heterogeneous Autoregressive Model
Hwang, Eunju - 2014
For testing error variance unstability, a test based on CUSUM squares of the residuals in HAR (Heteroscedastic AutoRegressive) models are constructed and its limiting null distribution is derived to be a simple function of the standard Brownian bridge. A finite sample Monte-Carlo experiment...
Persistent link: https://www.econbiz.de/10013054876
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Robust methods for detecting multiple level breaks in autocorrelated time series
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 157 (2010) 2, pp. 342-358
Persistent link: https://www.econbiz.de/10008662998
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Structural breaks and smooth transition autoregressive processes : an application to the US stock value ratios
Yoon, Gawon - In: Applied economics 43 (2011) 16/18, pp. 2313-2320
Persistent link: https://www.econbiz.de/10009380059
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Additive modeling of realized variance : tests for parametric specifications and structural breaks
Fengler, Matthias; Mammen, Enno; Vogt, Michael - 2013
Persistent link: https://www.econbiz.de/10010244914
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A CUSUM test for a long memory heterogeneous autoregressive model
Hwang, Eunju; Shin, Dong-wan - In: Economics letters 121 (2013) 3, pp. 379-383
Persistent link: https://www.econbiz.de/10010392170
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A flexible approach to parametric inference in nonlinear and time varying time series models
Koop, Gary; Potter, Simon M. - In: Journal of econometrics 159 (2010) 1, pp. 134-150
Persistent link: https://www.econbiz.de/10008839935
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Detection of stationarity in nonlinear processes : a comparison between structural breaks and three-regime TAR models
Maki, Daiki - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10009515140