Fractional integration and structural breaks at unknown periods of time

By L. Gil‐Alana. 2007

257 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/0e7b0d30b0e9438c328d7778f5c59edf5b971ea9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Rangan Gupta
2. Goodness C. Aye
3. M. Balcılar
4. Shinhye Chang
5. L. Gil‐Alana
6. Gang Li
7. Haiyan Song
8. Christian L. E. Franzke

In Statistics and Probability

1. Rangan Gupta
2. M. Balcılar
3. Shinhye Chang
4. Goodness C. Aye
5. L. Gil‐Alana

Citations in the corpus

• Persistence of precious metal prices: A fractional integration approach with structural breaks (2014, methodology): “This approach, due to Gil-Alana (2008) enables us to endogenously determine the number of breaks and the break dates along with the fractional differencing parameter for each subsample.”