Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
type: Item
instance of: scholarly article
title: Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
DOI: 10.1080/03610926.2017.1408827
author: Dong Wan Shin
author: Eunju Hwang
publication date: 2022-05-16T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7527288
zbMATH Keywords: CUSUM
zbMATH Keywords: HAR model
zbMATH Keywords: long-memory
zbMATH Keywords: parameter constancy
zbMATH Keywords: realized volatility
zbMATH Keywords: structural break
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/03610926.2017.1408827
OpenAlex ID: W2780643759
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published in: Communications in Statistics: Theory and Methods
description: scientific article; zbMATH DE number 7527288