Fractional integration versus level shifts: the case of realized asset correlations

DOI10.1007/S00362-013-0513-2zbMath1416.62653OpenAlexW1975441639MaRDI QIDQ379926

Philip Bertram, Philipp Sibbertsen, Robinson Kruse

Publication date: 11 November 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-013-0513-2

zbMATH Keywords

fractional integrationlong memorystructural breaksrealized correlation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Long memory and changepoint models: a spectral classification procedure ⋮ Nearest neighbors estimation for long memory functional data ⋮ Sequential monitoring of portfolio betas ⋮ Lack of fit test for long memory regression models ⋮ Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models

Uses Software

• longmemo

Cites Work

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