IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Modelling structural breaks, long memory and stock market volatility: an overview"

by Banerjee, Anindya & Urga, Giovanni

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as
in new window


  1. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
  2. Geoffrey Ngene & Charles Lambert & Ali Darrat, 2015. "Testing Long Memory in the Presence of Structural Breaks: An Application to Regional and National Housing Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 50(4), pages 465-483, May.
  3. 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.
  4. Russell, Bill, 2011. "Non-stationary inflation and panel estimates of United States short and long-run Phillips curves," Journal of Macroeconomics, Elsevier, vol. 33(3), pages 406-419, September.
  5. Gianfreda, Angelica & Grossi, Luigi, 2012. "Forecasting Italian electricity zonal prices with exogenous variables," Energy Economics, Elsevier, vol. 34(6), pages 2228-2239.
  6. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  7. Choi, Kyongwook & Zivot, Eric, 2007. "Long memory and structural changes in the forward discount: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 342-363, April.
  8. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  9. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
  10. Bhattacharya, Sharad Nath & Bhattacharya, Mousumi, 2013. "Long memory in return structures from developed markets," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
  11. Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 167-180.
  12. Leonardo Chaves Borges Cardoso & Maurício Vaz Lobo Bittencourt, 2016. "Price Volatility Transmission From Oil To Energy And Non-Energy Agricultural Commodities," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting] 181, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  13. Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.
  14. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
  15. Antoch, Jaromir & Hanousek, Jan & Horvath, Lajos & Huskova, Marie & Wang, Shixuan, 2017. "Structural breaks in panel data: Large number of panels and short length time series," CEPR Discussion Papers 11891, C.E.P.R. Discussion Papers.
  16. Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
  17. Luis Gil-Alana & Antonio Moreno, 2012. "Fractional integration and structural breaks in U.S. macro dynamics," Empirical Economics, Springer, vol. 43(1), pages 427-446, August.
  18. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, 09.
  19. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
  20. Jirak, Moritz, 2012. "Change-point analysis in increasing dimension," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 136-159.
  21. Chatzikonstanti, Vasiliki & Venetis, Ioannis A., 2015. "Long memory in log-range series: Do structural breaks matter?," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 104-113.
  22. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2012. "Long memory and structural breaks in modeling the return and volatility dynamics of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 207-218.
  23. repec:dau:papers:123456789/5954 is not listed on IDEAS
  24. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers 135, Center for Policy Research, Maxwell School, Syracuse University.
  25. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
  26. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, Elsevier.
  27. de Menezes, Lilian M. & Houllier, Melanie A., 2015. "Germany's nuclear power plant closures and the integration of electricity markets in Europe," Energy Policy, Elsevier, vol. 85(C), pages 357-368.
  28. Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 901-920, December.
  29. VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," CORE Discussion Papers 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  30. Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach," Applied Economics, Taylor & Francis Journals, vol. 46(22), pages 2611-2622, August.
  31. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2007. "Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend," Center for Policy Research Working Papers 92, Center for Policy Research, Maxwell School, Syracuse University.
  32. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
  33. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
  34. Les Oxley & Chris Price & William Rea & Marco Reale, 2008. "A New Procedure to Test for H Self-Similarity," Working Papers in Economics 08/16, University of Canterbury, Department of Economics and Finance.
  35. Gündüz, Yalin & Kaya, Orcun, 2013. "Sovereign default swap market efficiency and country risk in the eurozone," Discussion Papers 08/2013, Deutsche Bundesbank, Research Centre.
  36. Franco, Glaura C. & Reisen, Valderio A., 2007. "Bootstrap approaches and confidence intervals for stationary and non-stationary long-range dependence processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 546-562.
  37. repec:ipg:wpaper:2014-390 is not listed on IDEAS
  38. Marco R Barassi & Dayong Zhang, 2009. "Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates," Discussion Papers 09-17, Department of Economics, University of Birmingham.
  39. Cheol-Keun Cho & Timothy J. Vogelsang, 2016. "Fixed- b Inference for Testing Structural Change in a Time Series Regression," Econometrics, MDPI, Open Access Journal, vol. 5(1), pages 1-26, December.
  40. Ghysels, Eric & Sohn, Bumjean, 2009. "Which power variation predicts volatility well?," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 686-700, September.
  41. 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.
  42. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
  43. Jose Olmo & William Pouliot, 2014. "Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry," Discussion Papers 14-02, Department of Economics, University of Birmingham.
  44. repec:hal:journl:peer-00741630 is not listed on IDEAS
  45. Gündüz, Yalin & Kaya, Orcun, 2014. "Impacts of the financial crisis on eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 425-442.
  46. Shaun A. Bond & Soosung Hwang & Gianluca Marcato, 2006. "An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle?," Real Estate & Planning Working Papers rep-wp2006-17, Henley Business School, Reading University.
  47. Kang, Sang Hoon & Cho, Hwan-Gue & Yoon, Seong-Min, 2009. "Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(17), pages 3543-3550.
  48. Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016. "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 136-149.
  49. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.