Occasional Structural Breaks and Long Memory
AbstractThis paper shows that a linear process with breaks can mimic autocorrelations and other properties of I(d) processes, where d can be a fraction. Simulation results show that S&P 500 absolute stock returns are more likely to show the "long memory" property because of the presence of breaks in the series rather than an I(d) process.
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Bibliographic InfoPaper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number qt4d60t4jh.
Date of creation: 01 Jun 1999
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occasional structural breaks; long memory; autocorrelation;
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Cahiers de recherche
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