This paper proposes a monitoring cumulative sum of squares (CUSQ)-type test for structural breaks in real-time via an auto-regressive (AR) approximation framework when data generating process (DGP) is a long memory process. The limiting distribution of the monitoring test follows a Brownian...

This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal...