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Structural Breaks in Financial Time Series

In: Handbook of Financial Time Series

Author

Listed:
  • Elena Andreou

    (University of Cyprus, Department of Economics)

  • Eric Ghysels

    (University of North Carolina at Chapel Hill, Department of Economics)

Abstract

This paper reviews the literature on structural breaks in financial time series. The second section discusses the implications of structural breaks in financial time series for statistical inference purposes. In the third section we discuss change-point tests in financial time series, including historical and sequential tests as well as single and multiple break tests. The fourth section focuses on structural break tests of financial asset returns and volatility using the parametric versus nonparametric classification as well as tests in the long memory and the distribution of financial time series. In concluding we provide some areas of future research in the subject.

Suggested Citation

  • Elena Andreou & Eric Ghysels, 2009. "Structural Breaks in Financial Time Series," Springer Books, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen (ed.), Handbook of Financial Time Series, chapter 37, pages 839-870, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-71297-8_37
    DOI: 10.1007/978-3-540-71297-8_37
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