Long memory vs. structural change in financial time series

zbMath1177.91109MaRDI QIDQ2567526

Philipp Sibbertsen, Walter Kramer, Christian Kleiber

Publication date: 11 October 2005

Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items

Fractional integration versus level shifts: the case of realized asset correlations ⋮ On discriminating between long-range dependence and changes in mean ⋮ Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection