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Stochastic Permanent Breaks

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References

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2007Fractional integration and structural breaks at unknown periods of time251 cited
2009IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS*194 cited
2013Advances in Forecasting under Instability178 cited
2005An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series175 cited
2009Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices169 cited

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2003

Economic forecasting: some lessons from recent research

169 cited

2018Tourism, terrorism and political violence in Tunisia: Evidence from Markov-switching models160 cited

2017Forecasting of nonlinear time series using ANN158 cited

2005How can we Define the Concept of Long Memory? An Econometric Survey101 cited

2009Structural Breaks in Financial Time Series92 cited

2005Level Shifts and the Illusion of Long Memory in Economic Time Series91 cited

2007House prices and household income: Do they move apart? Evidence from Taiwan87 cited

2000Long Memory and Regime Switching80 cited

2008Structural Breaks and the Convergence of Regional House Prices78 cited

2009Modeling and forecasting stock return volatility using a random level shift model76 cited

2006Simple (but effective) tests of long memory versus structural breaks76 cited