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Occasional Structural Breaks and Long Memory

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References

1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
1999Volatility in Emerging Stock Markets735 cited
1988Estimating the number of change-points via Schwarz' criterion628 cited
1996Varieties of long memory models425 cited
1999A simple nonlinear time series model with misleading linear properties208 cited
1990Random Level-Shift Time Series Models, ARIMA Approximations, and Level-Shift Detection149 cited
1998Change of structure in financial time series, long range dependence and the GARCH model98 cited

Cited by

2002A nonlinear long memory model, with an application to US unemployment135 cited
2002Bayesian methods for change‐point detection in long‐range dependent processes123 cited
2001Memory and infrequent breaks106 cited
2005Level Shifts and the Illusion of Long Memory in Economic Time Series91 cited
2001Testing for long memory in the presence of a general trend89 cited
2004Long memory versus structural breaks: An overview82 cited
2016Treating Time with All Due Seriousness69 cited
2005Monitoring disruptions in financial markets67 cited

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2004Modelling Realized Variance when Returns are Serially Correlated48 cited

1998A NOTE ON SPURIOUS BREAK39 cited

2007What is What?: A Simple Time-Domain Test of Long-Memory vs. Structural Breaks37 cited

2011Modeling volatility with time-varying FIGARCH models37 cited

2005Structural breaks and long memory in US inflation rates: Do they matter for forecasting?36 cited

2002A New Class of Multivariate Skew Densities, with Application to GARCH Models36 cited

2002Modelling and forecasting level shifts in absolute returns32 cited

2007Forecast content and content horizons for some important macroeconomic time series32 cited