A multivariate long-memory model with structural breaks

DOI10.1080/00949650802087011zbMath1183.62147OpenAlexW3124824989MaRDI QIDQ3638531

Guglielmo Maria Caporale, Luis A. Gil-Alana

Publication date: 27 October 2009

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650802087011

zbMATH Keywords

fractional integrationstructural breaksmultivariate models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Related Items (2)

Stability and convergence of difference schemes approximating a two-parameter nonlocal boundary value problem ⋮ Spectral properties of a nonlocal second-order difference operator

Uses Software

• longmemo

Cites Work

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