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Occasional Structural Breaks and Long Memory

Author

Listed:
  • Clive W.J. Granger

    (Department of Economics, University of California)

  • Namwon Hyung

    (Department of Economics, University of California)

Abstract

This 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.

Suggested Citation

  • Clive W.J. Granger & Namwon Hyung, 2013. "Occasional Structural Breaks and Long Memory," Annals of Economics and Finance, Society for AEF, vol. 14(2), pages 739-764, November.
  • Handle: RePEc:cuf:journl:y:2013:v:14:i:3:granger:hyung
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    References listed on IDEAS

    as
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