Testing structural breaks versus long memory with the Box–Pierce statistics: a Monte Carlo study
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References listed on IDEAS
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- Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
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KeywordsLong memory; Occasional structural breaks; Box–Pierce test;
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