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Long Memory and Structural Change · Study

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PreprintLong Memory and Structural Change

Francis X. Diebold2001

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Preprintgreen2001

Long Memory and Structural Change

Francis X. Diebold · Atsushi Inoue

56 citations·0/0 files stored·SSRN Electronic Journal

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Complex Systems and Time Series Analysis Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1996Statistics for Long-Memory Processes.1996Long memory processes and fractional integration in econometrics 1995Log-Periodogram Regression of Time Series with Long Range Dependence 2010A Long Memory Property of Stock Market Returns and a New Model 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns

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2000Long Memory and Regime Switchingreport · 24 shared references 2005How can we Define the Concept of Long Memory? An Econometric Surveyarticle · 11 shared references 2005Fractional integration in daily stock market indexesarticle · 11 shared references 2007What is What?: A Simple Time-Domain Test of Long-Memory vs. Structural Breakspreprint · 11 shared references 2009Fractional Integration and Cointegration: An Overview and an Empirical Applicationchapter · 10 shared references 2017Combining long memory and level shifts in modelling and forecasting the volatility of asset returnsarticle · 10 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations56

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.2139/ssrn.267789

openalex_workW2170176537

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