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Non-stationarities in financial time series, the long range dependence and the IGARCH effects

Citations

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Cited by:

  1. Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009. "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
  2. Gürtler, Marc & Rauh, Ronald, 2012. "Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity," Working Papers IF41V1, Technische Universität Braunschweig, Institute of Finance.
  3. Charles, Amélie & Darné, Olivier, 2014. "Volatility persistence in crude oil markets," Energy Policy, Elsevier, vol. 65(C), pages 729-742.
  4. Fang, WenShwo & Miller, Stephen M., 2009. "Modeling the volatility of real GDP growth: The case of Japan revisited," Japan and the World Economy, Elsevier, vol. 21(3), pages 312-324, August.
  5. Rohan, Neelabh, 2013. "A time varying GARCH(p,q) model and related statistical inference," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 1983-1990.
  6. Mihaela Craioveanu & Eric Hillebrand, 2012. "Why It Is Ok To Use The Har-Rv(1,5,21) Model," Working Papers 1201, University of Central Missouri, Department of Economics & Finance, revised Aug 2012.
  7. Gürtler, Marc & Rauh, Ronald, 2009. "Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model," Working Papers IF32V2, Technische Universität Braunschweig, Institute of Finance.
  8. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016. "Efficient Gibbs sampling for Markov switching GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 37-57.
  9. Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
  10. Juan Manuel Julio-Roman, 2015. "On the Stylized Facts of Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico and Peru," Borradores de Economia 13015, Banco de la Republica.
  11. Augustyniak, Maciej, 2014. "Maximum likelihood estimation of the Markov-switching GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 61-75.
  12. Amado, Cristina & Teräsvirta, Timo, 2014. "Modelling changes in the unconditional variance of long stock return series," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 15-35.
  13. WenShwo Fang & Stephen M. Miller, 2014. "Output Growth and its Volatility: The Gold Standard through the Great Moderation," Southern Economic Journal, John Wiley & Sons, vol. 80(3), pages 728-751, January.
  14. Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does The Great Recession Imply The End Of The Great Moderation? International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(2), pages 745-760, April.
  15. Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie, 2018. "A multivariate test against spurious long memory," Journal of Econometrics, Elsevier, vol. 203(1), pages 33-49.
  16. Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
  17. María Dolores Gadea & Laura Mayoral, 2006. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
  18. Fakhfekh, Mohamed & Hachicha, Nejib & Jawadi, Fredj & Selmi, Nadhem & Idi Cheffou, Abdoulkarim, 2016. "Measuring volatility persistence for conventional and Islamic banks: An FI-EGARCH approach," Emerging Markets Review, Elsevier, vol. 27(C), pages 84-99.
  19. Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 323-364, November.
  20. Krämer, Walter & Messow, Philip, 2012. "Structural Change and Spurious Persistence in Stochastic Volatility," Ruhr Economic Papers 310, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  21. Erdenebat Bataa & Andrew Vivian & Mark Wohar, 2019. "Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014," Bulletin of Economic Research, Wiley Blackwell, vol. 71(4), pages 616-640, October.
  22. Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2015. "Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach," CREATES Research Papers 2015-30, Department of Economics and Business Economics, Aarhus University.
  23. Castillo, Brenda & León, Ángel & Ñíguez, Trino-Manuel, 2021. "Backtesting VaR under the COVID-19 sudden changes in volatility," Finance Research Letters, Elsevier, vol. 43(C).
  24. Ying Chen & Wolfgang Härdle & Uta Pigorsch, 2009. "Localized Realized Volatility Modelling," SFB 649 Discussion Papers SFB649DP2009-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  25. Gürtler, Marc & Kreiss, Jens-Peter & Rauh, Ronald, 2009. "A non-stationary approach for financial returns with nonparametric heteroscedasticity," Working Papers IF31V2, Technische Universität Braunschweig, Institute of Finance.
  26. Bergsli, Lykke Øverland & Lind, Andrea Falk & Molnár, Peter & Polasik, Michał, 2022. "Forecasting volatility of Bitcoin," Research in International Business and Finance, Elsevier, vol. 59(C).
  27. Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2012. "The Deaton paradox in a long memory context with structural breaks," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3309-3322, September.
  28. Dejan Živkov & Jovan Njegić & Mirela Momčilović & Ivan Milenković, 2016. "Exchange Rate Volatility and Uncovered Interest Rate Parity in the European Emerging Economies," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(3), pages 253-270.
  29. Babikir, Ali & Gupta, Rangan & Mwabutwa, Chance & Owusu-Sekyere, Emmanuel, 2012. "Structural breaks and GARCH models of stock return volatility: The case of South Africa," Economic Modelling, Elsevier, vol. 29(6), pages 2435-2443.
  30. Arago-Manzana, Vicent & Fernandez-Izquierdo, Maria Angeles, 2007. "Influence of structural changes in transmission of information between stock markets: A European empirical study," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 112-124, April.
  31. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
  32. Gil-Alana, Luis A. & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2014. "On the persistence and volatility in European, American and Asian stocks bull and bear markets," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 149-162.
  33. Cyril Caillault, Dominique Guégan, 2009. "Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy," Frontiers in Finance and Economics, SKEMA Business School, vol. 6(1), pages 26-50, April.
  34. Carlos P. Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Long Memory in German Energy Price Indices," Discussion Papers of DIW Berlin 1186, DIW Berlin, German Institute for Economic Research.
  35. Khismatullina, Marina & Vogt, Michael, 2023. "Nonparametric comparison of epidemic time trends: The case of COVID-19," Journal of Econometrics, Elsevier, vol. 232(1), pages 87-108.
  36. Caroline Michere Ndei & Stephen Muchina & Kennedy Waweru, 2019. "Modeling stock market return volatility in the presence of structural breaks: Evidence from Nairobi Securities Exchange, Kenya," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 8(5), pages 156-171, September.
  37. Terence Tai Leung Chong & Chenxi Lu & Wing Hong Chan, 2020. "Long Range Dependence And Structural Breaks In The Gold Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 257-273, March.
  38. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra.
  39. Caporale, Barbara & Caporale, Tony, 2008. "Political risk and the expectations hypothesis," Economics Letters, Elsevier, vol. 100(2), pages 178-180, August.
  40. Fryzlewicz, Piotr & Sapatinas, Theofanis & Subba Rao, Suhasini, 2006. "A Haar-Fisz technique for locally stationary volatility estimation," LSE Research Online Documents on Economics 25225, London School of Economics and Political Science, LSE Library.
  41. Alexey Yurievich Mikhaylov, 2018. "Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 321-326.
  42. Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2006. "Regime switching GARCH models," Cahiers de recherche 06-08, HEC Montréal, Institut d'économie appliquée.
  43. Tule, Moses K. & Ndako, Umar B. & Onipede, Samuel F., 2017. "Oil price shocks and volatility spillovers in the Nigerian sovereign bond market," Review of Financial Economics, Elsevier, vol. 35(C), pages 57-65.
  44. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
  45. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
  46. Amandha Ganegoda & John Evans, 2017. "The Australian retirement lottery: A system failure," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 3-31, February.
  47. Gürtler, Marc & Rauh, Ronald, 2013. "Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns," Working Papers IF43V1, Technische Universität Braunschweig, Institute of Finance.
  48. Wenger, Kai & Leschinski, Christian, 2021. "Fixed-bandwidth CUSUM tests under long memory," Econometrics and Statistics, Elsevier, vol. 20(C), pages 46-61.
  49. Bauwens Luc & Storti Giuseppe, 2009. "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-33, May.
  50. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
  51. Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," Energy Economics, Elsevier, vol. 40(C), pages 222-232.
  52. Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.
  53. Aharon, David Y. & Butt, Hassan Anjum & Jaffri, Ali & Nichols, Brian, 2023. "Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks," International Review of Financial Analysis, Elsevier, vol. 87(C).
  54. Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, Department of Economics and Business Economics, Aarhus University.
  55. Guglielmo Caporale & Luis Gil-Alana, 2013. "Long memory in US real output per capita," Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
  56. AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud, 2016. "A New Approach to Volatility Modeling : The High-Dimensional Markov Model," LIDAM Discussion Papers CORE 2016042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  57. Kawka, Rafael, 2022. "Convergence of spectral density estimators in the locally stationary framework," Econometrics and Statistics, Elsevier, vol. 24(C), pages 94-115.
  58. Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.
  59. Terence Tai Leung Chong & Chenxi Lu & Wing Hong Chan, 2017. "Long Range Dependence And Structural Breaks In The Gold Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 257-273, June.
  60. Zhang, Erhua & Wu, Jilin, 2020. "Adaptive estimation of AR∞ models with time-varying variances," Economics Letters, Elsevier, vol. 197(C).
  61. David G. McMillan, 2010. "Level‐shifts and non‐linearity in US financial ratios," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(2), pages 189-207, May.
  62. Ying Chen & Bo Li, 2011. "Forecasting Yield Curves in an Adaptive Framework," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(4), pages 237-259, December.
  63. Cizek, P. & Haerdle, W. & Spokoiny, V., 2007. "Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models," Other publications TiSEM a797e4a8-12cf-4ac5-9fae-b, Tilburg University, School of Economics and Management.
  64. Sensoy, Ahmet, 2013. "Dynamic relationship between precious metals," Resources Policy, Elsevier, vol. 38(4), pages 504-511.
  65. Chavez-Demoulin, V. & Embrechts, P. & Sardy, S., 2014. "Extreme-quantile tracking for financial time series," Journal of Econometrics, Elsevier, vol. 181(1), pages 44-52.
  66. TEYSSIERE, Gilles, 2003. "Interaction models for common long-range dependence in asset price volatilities," LIDAM Discussion Papers CORE 2003026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  67. Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.
  68. Juan Carlos Cuestas & Luis A. Gil-Alana & Karl Taylor, 2016. "Inflation convergence in Central and Eastern Europe vs. the Eurozone: Non-linearities and long memory," Scottish Journal of Political Economy, Scottish Economic Society, vol. 63(5), pages 519-538, November.
  69. de Pooter, M.D. & van Dijk, D.J.C., 2004. "Testing for changes in volatility in heteroskedastic time series - a further examination," Econometric Institute Research Papers EI 2004-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  70. Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
  71. Leschinski, Christian & Sibbertsen, Philipp, 2018. "The Periodogram of Spurious Long-Memory Processes," Hannover Economic Papers (HEP) dp-632, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  72. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.
  73. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2015. "Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate," Energy Economics, Elsevier, vol. 48(C), pages 46-60.
  74. Funke, Michael & Shu, Chang & Cheng, Xiaoqiang & Eraslan, Sercan, 2015. "Assessing the CNH–CNY pricing differential: Role of fundamentals, contagion and policy," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 245-262.
  75. Pal, Debdatta, 2022. "Does hospitality industry stock volatility react asymmetrically to health and economic crises?," Economic Modelling, Elsevier, vol. 108(C).
  76. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  77. repec:dau:papers:123456789/2285 is not listed on IDEAS
  78. Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
  79. Razvan Pascalau & Christian Thomann & Greg N. Gregoriou, 2011. "Unconditional Mean, Volatility, and the FOURIER-GARCH Representation," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, chapter 5, pages 90-106, Palgrave Macmillan.
  80. Rombouts Jeroen V. K. & Bouaddi Mohammed, 2009. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-32, May.
  81. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2015. "Shifts in volatility driven by large stock market shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 130-147.
  82. Chris Stewart, 2011. "A note on spurious significance in regressions involving I(0) and I(1) variables," Empirical Economics, Springer, vol. 41(3), pages 565-571, December.
  83. Kostyrka, Andreï & Malakhov, Dmitry, 2021. "Was there ever a shift: Empirical analysis of structural-shift tests for return volatility," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 110-139.
  84. He, Zhongfang & Maheu, John M., 2010. "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2628-2640, November.
  85. Jorge M. Andraz & Nélia M. Norte, 2017. "Gross domestic product growth, volatility and regime changes nexus: the case of Portugal," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 1-16, April.
  86. Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2655-2673, October.
  87. Lazar, Emese & Wang, Shixuan & Xue, Xiaohan, 2023. "Loss function-based change point detection in risk measures," European Journal of Operational Research, Elsevier, vol. 310(1), pages 415-431.
  88. Kang, Sang Hoon & Kang, Sang-Mok & Yoon, Seong-Min, 2009. "Forecasting volatility of crude oil markets," Energy Economics, Elsevier, vol. 31(1), pages 119-125, January.
  89. Roberto Ferulano, 2009. "A Mixed Historical Formula to forecast volatility," Journal of Asset Management, Palgrave Macmillan, vol. 10(2), pages 124-136, June.
  90. Kramer, Walter & Azamo, Baudouin Tameze, 2007. "Structural change and estimated persistence in the GARCH(1,1)-model," Economics Letters, Elsevier, vol. 97(1), pages 17-23, October.
  91. Krämer, Walter & Tameze, Baudouin & Christou, Konstantinos, 2012. "On the origin of high persistence in GARCH-models," Economics Letters, Elsevier, vol. 114(1), pages 72-75.
  92. Azamo, Baudouin Tameze & Krämer, Walter, 2006. "Structural Change and long memory in the GARCH(1,1)-model," Technical Reports 2006,33, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  93. Massimiliano Caporin & Rangan Gupta, 2017. "Time-varying persistence in US inflation," Empirical Economics, Springer, vol. 53(2), pages 423-439, September.
  94. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," PSE-Ecole d'économie de Paris (Postprint) halshs-00375765, HAL.
  95. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  96. Mohamed Boutahar & Jamel Jouini, 2007. "A Methodology For Detecting Breaks In The Mean And Covariance Structure Of Time Series," Working Papers halshs-00354249, HAL.
  97. Catalin Starica & Stefano Herzel & Tomas Nord, 2005. "Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?," Econometrics 0508003, University Library of Munich, Germany.
  98. McMillan, David G. & Ruiz, Isabel, 2009. "Volatility persistence, long memory and time-varying unconditional mean: Evidence from 10 equity indices," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 578-595, May.
  99. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
  100. Anthony Msafiri Nyangarika & Alexey Yurievich Mikhaylov & Bao-jun Tang, 2018. "Correlation of Oil Prices and Gross Domestic Product in Oil Producing Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 42-48.
  101. Wee, Damien C.H. & Chen, Feng & Dunsmuir, William T.M., 2022. "Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo," Econometrics and Statistics, Elsevier, vol. 21(C), pages 50-68.
  102. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 646, Stockholm School of Economics.
  103. Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 901-920, December.
  104. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
  105. Chen, Runquan, 2009. "Regime switching in volatilities and correlation between stock and bond markets," LSE Research Online Documents on Economics 29306, London School of Economics and Political Science, LSE Library.
  106. Walid Mensi & Shawkat Hammoude & Seong-Min Yoon, 2014. "Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate," Working Papers 884, Economic Research Forum, revised Dec 2014.
  107. Jörg Polzehl & Vladimir Spokoiny, 2006. "Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power," SFB 649 Discussion Papers SFB649DP2006-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  108. Juan Carlos Cuestas & Luis A. Gil-Alana & Karl Taylor, 2012. "Inflation convergence in Central and Eastern Europe with a view to adopting the euro," Working Papers 12-01, Asociación Española de Economía y Finanzas Internacionales.
  109. Nicolas Chopin, 2007. "Dynamic Detection of Change Points in Long Time Series," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(2), pages 349-366, June.
  110. repec:wyi:journl:002190 is not listed on IDEAS
  111. E. Otranto, 2011. "Classification of Volatility in Presence of Changes in Model Parameters," Working Paper CRENoS 201113, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  112. Badagian Baharian, Ana Laura & Kaiser Remiro, Regina & Peña, Daniel, 2013. "The change-point problem and segmentation of processes with conditional heteroskedasticity," DES - Working Papers. Statistics and Econometrics. WS ws131718, Universidad Carlos III de Madrid. Departamento de Estadística.
  113. Xixin Cheng & Philip L. H. Yu & W. K. Li, 2009. "On a dynamic mixture GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(3), pages 247-265.
  114. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
  115. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  116. Lionel Truquet, 2017. "Parameter stability and semiparametric inference in time varying auto-regressive conditional heteroscedasticity models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1391-1414, November.
  117. Eric Hillebrand & Marcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
  118. Hasanov, Akram Shavkatovich & Poon, Wai Ching & Al-Freedi, Ajab & Heng, Zin Yau, 2018. "Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions," Energy Economics, Elsevier, vol. 70(C), pages 307-333.
  119. Philip Preuss & Mathias Vetter & Holger Dette, 2013. "Testing Semiparametric Hypotheses in Locally Stationary Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(3), pages 417-437, September.
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