Estimation of structural mean breaks for long-memory data sets

DOI10.1080/02331888.2017.1335314zbMath1447.62120OpenAlexW2623127822MaRDI QIDQ4600788

Dong Wan Shin, Eun-Ju Hwang

Publication date: 12 January 2018

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2017.1335314

zbMATH Keywords

heterogeneous autoregressive modellong-memory datarealized volatility datastructural mean breaks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential statistical analysis (62L10)

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