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Citations for "Stochastic Permanent Breaks"

by Engle, Robert F & Smith, Aaron

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  1. Sibbertsen, Philipp & Leschinski, Christian & Holzhausen, Marie, 2015. "A Multivariate Test Against Spurious Long Memory," Hannover Economic Papers (HEP) dp-547, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  2. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  3. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2014. "Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries," Working Papers 15-25, Eastern Mediterranean University, Department of Economics.
  4. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October.
  5. Lu, Yang K. & Perron, Pierre, 2010. "Modeling and forecasting stock return volatility using a random level shift model," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 138-156, January.
  6. Andrea Monticini & Francesco Ravazzolo, 2014. "Forecasting the intraday market price of money," DISCE - Working Papers del Dipartimento di Economia e Finanza def010, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  7. Mei-Se Chien, 2010. "Structural Breaks and the Convergence of Regional House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 40(1), pages 77-88, January.
  8. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
  9. Granger, Clive W. J. & Hyung, Namwon, 2004. "Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 399-421, June.
  10. Smith, Aaron D., 2004. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Working Papers 11974, University of California, Davis, Department of Agricultural and Resource Economics.
  11. Zietz, Joachim & Traian, Anca, 2014. "When was the U.S. housing downturn predictable? A comparison of univariate forecasting methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 271-281.
  12. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
  13. Charfeddine, Lanouar & Guégan, Dominique, 2012. "Breaks or long memory behavior: An empirical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5712-5726.
  14. Hyung, N. & Franses, Ph.H.B.F., 2001. "Structural breaks and long memory in US inflation rates: do they matter for forecasting?," Econometric Institute Research Papers EI 2001-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  15. Renzo Pardo Figueroa & Gabriel Rodríguez, 2014. " Distinguishing between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America," Documentos de Trabajo / Working Papers 2014-395, Departamento de Economía - Pontificia Universidad Católica del Perú.
  16. Luisa Bisaglia & Margherita Gerolimetto, 2009. "Testing structural breaks versus long memory with the Box–Pierce statistics: a Monte Carlo study," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(4), pages 543-553, November.
  17. Pierre Perron & Zhongjun Qu, 2008. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-004, Boston University - Department of Economics.
  18. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.
  19. Brian Goff, 2006. "Supreme Court consensus and dissent: Estimating the role of the selection screen," Public Choice, Springer, vol. 127(3), pages 367-383, June.
  20. Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008. "A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 225-241, April.
  21. Dennis Alvaro & Ángel Guillén & Gabriel Rodríguez, 2017. "Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 71-103, February.
  22. Jiawen Xu & Pierre Perron, 2013. "Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion," Boston University - Department of Economics - Working Papers Series 2013-021, Boston University - Department of Economics.
  23. Sing, Tien-Foo & Tsai, I-Chun & Chen, Ming-Chi, 2006. "Price dynamics in public and private housing markets in Singapore," Journal of Housing Economics, Elsevier, vol. 15(4), pages 305-320, December.
  24. Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
  25. Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics.
  26. repec:hal:journl:halshs-00611932 is not listed on IDEAS
  27. Huang, Yu-Lieh & Huang, Chao-Hsi & Kuan, Chung-Ming, 2008. "Reexamining the permanent income hypothesis with uncertainty in permanent and transitory innovation states," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1816-1836, December.
  28. Charfeddine, Lanouar, 2016. "Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis," Economic Modelling, Elsevier, vol. 53(C), pages 354-374.
  29. Dominique Guegan & Philippe De Peretti, 2011. "Tests of structural changes in conditional distributions with unknown changepoints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00611932, HAL.
  30. repec:hal:journl:halshs-00187875 is not listed on IDEAS
  31. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94 Edward Elgar Publishing.
  32. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
  33. Ozdemir, Zeynel Abidin & Balcilar, Mehmet & Tansel, Aysit, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," IZA Discussion Papers 6063, Institute for the Study of Labor (IZA).
  34. Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City.
  35. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2014. "Level shifts in stock returns driven by large shocks," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 41-51.
  36. Lanouar Charfeddine & Dominique Guegan, 2009. "Breaks or Long Memory Behaviour : An empirical Investigation," Post-Print halshs-00377485, HAL.
  37. Philip Hans Franses & Namwon Hyung, 2005. "Forecasting time series with long memory and level shifts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(1), pages 1-16.
  38. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  39. Dominique Guegan & Philippe De Peretti, 2011. "An Omnibus Test to Detect Time-Heterogeneity in Time Series," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00560221, HAL.
  40. 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.
  41. Mohamed Boutahar & Mustapha Belkhouja, 2007. "Le Changement Structurel Dans Un Environnement Mémoire Longue," Working Papers halshs-00352610, HAL.
  42. Georgios KOURETAS & Mark E. WOHAR, "undated". "The Dynamics of Inflation: A Study of a Large Number of Countries," EcoMod2010 259600096, EcoMod.
  43. Charfeddine, Lanouar, 2014. "True or spurious long memory in volatility: Further evidence on the energy futures markets," Energy Policy, Elsevier, vol. 71(C), pages 76-93.
  44. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2016. "Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Working Papers 567, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  45. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
  46. Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.
  47. Gary Biglaiser & Ching-to Albert Ma, 2006. "Moonlighting: Public Service and Private Practice," Boston University - Department of Economics - Working Papers Series WP2006-015, Boston University - Department of Economics.
  48. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
  49. Luis A. Gil-Alana & Andrea Mervar & James E. Payne, 2017. "The stationarity of inflation in Croatia: anti-inflation stabilization program and the change in persistence," Economic Change and Restructuring, Springer, vol. 50(1), pages 45-58, February.
  50. Pierre Perron & Wendong Shi, 2014. "Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models," Boston University - Department of Economics - Working Papers Series wp2014-009, Boston University - Department of Economics.
  51. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute.
  52. Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
  53. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics.
  54. Leipus, Remigijus & Viano, Marie-Claude, 2003. "Long memory and stochastic trend," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 177-190, January.
  55. repec:ipg:wpaper:2014-503 is not listed on IDEAS
  56. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 364-375, October.
  57. Martínez Ibáñez, Oscar & Olmo, José, 2008. "A nonlinear threshold model for the dependence of extremes of stationary sequences," Working Papers 2072/5361, Universitat Rovira i Virgili, Department of Economics.
  58. Lanouar Charfeddine & Dominique Guegan, 2012. "Breaks or long memory behaviour : an empirical investigation," Working Papers halshs-00722032, HAL.
  59. Aaron Smith, 2005. "Forecasting in the presence of level shifts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 557-574.
  60. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics.
  61. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  62. 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.
  63. Gonzalo, Jesus & Martinez, Oscar, 2006. "Large shocks vs. small shocks. (Or does size matter? May be so.)," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 311-347.
  64. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
  65. Brian Goff, 2005. "Supreme Court consensus and dissent: Estimating the role of the selection screen," Public Choice, Springer, vol. 122(3), pages 483-499, March.
  66. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society.
  67. Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP) dp-425, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  68. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2014. "Predicting BRICS stock returns using ARFIMA models," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1159-1166, September.
  69. Granger, Clive W.J. & Hyung, Namwon, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series qt4d60t4jh, Department of Economics, UC San Diego.
  70. Bisaglia, Luisa & Gerolimetto, Margherita, 2008. "Forecasting long memory time series when occasional breaks occur," Economics Letters, Elsevier, vol. 98(3), pages 253-258, March.
  71. Kapetanios, G. & Tzavalis, E., 2010. "Modeling structural breaks in economic relationships using large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 417-436, March.
  72. Dominique Guegan & Philippe De Peretti, 2012. "An Omnibus Test to Detect Time-Heterogeneity in Time Series," Working Papers halshs-00721327, HAL.
  73. Hyung, N. & Franses, Ph.H.B.F., 2002. "Inflation rates; long-memoray, level shifts, or both?," Econometric Institute Research Papers EI 2002-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  74. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.
  75. Uwe Hassler & Antonio Rubia & Paulo M.M. Rodrigues, 2014. "Persistence in the Banking Industry: Fractional integration and breaks in memory," Working Papers w201406, Banco de Portugal, Economics and Research Department.
  76. 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.
  77. Hui, Eddie C.M. & Yu, Carisa K.W. & Ip, Wai-Cheung, 2010. "Jump point detection for real estate investment success," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(5), pages 1055-1064.
  78. repec:ctc:serie1:def10 is not listed on IDEAS
  79. Hans KREMERS & Andreas LOESCHEL, "undated". "The Strategic Implications of Setting Border Tax Adjustments," EcoMod2010 259600097, EcoMod.
  80. repec:oxf:wpaper:2002-w07 is not listed on IDEAS
  81. repec:hal:journl:halshs-00187910 is not listed on IDEAS
  82. González Gómez, Andrés, 2004. "A smooth permanent surge process," SSE/EFI Working Paper Series in Economics and Finance 572, Stockholm School of Economics.
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