An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility
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References listed on IDEAS
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- David G. McMillan, 2010. "Level-shifts and non-linearity in US financial ratios: Implications for returns predictability and the present value model," Review of Accounting and Finance, Emerald Group Publishing, vol. 9(2), pages 189-207, May.
- McMillan, David G., 2009. "The confusing time-series behaviour of real exchange rates: Are asymmetries important?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 692-711, October.
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"Stationarity and Long Range Dependence of Carbon Dioxide Emissions: Evidence for Disaggregated Data,"
Environmental & Resource Economics,
Springer;European Association of Environmental and Resource Economists, vol. 63(1), pages 45-56, January.
- Carlos Pestana Barros & Luis A. Gil-Alana & Fernando Perez de Gracia, 2016. "Stationarity and Long Range Dependence of Carbon Dioxide Emissions: Evidence for Disaggregated Data," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 63(1), pages 45-56, January.
- David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
- Shimotsu, Katsumi, 2006. "Simple (but effective) tests of long memory versus structural breaks," Queen's Economics Department Working Papers 273577, Queen's University - Department of Economics.
- 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.
More about this item
Keywordsstructural change; jumps; long memory processes; fractional integration; Poisson process; frequency domain estimates.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-08-14 (All new papers)
- NEP-ECM-2007-08-14 (Econometrics)
- NEP-ETS-2007-08-14 (Econometric Time Series)
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