Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation
By Kyongwook Choi, Eric Zivot. 2007
125 citations recorded by the source corpus.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/4ef344d50ec577ddb6924c18505a69b1664997a7
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In Accounting
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In Economics and Econometrics
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Citations in the corpus
- Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility (2010, unknown): “…of stationary series (Granger and Ding 1996); (2) mixture of numerous heterogeneous short-run information arrivals (Andersen and Bollerslev 1997); (3) non-linear models, such as structural breaks (changes) or regime switches (Granger and Hyung 2004; Choi and Zivot 2006; Diebold and Inoue 2001).”
- Neglecting parameter changes in GARCH models (2005, background): “Choi and Zivot 2002, Diebold and Inoue 2001, Granger and Hyung 1999, Granger”
- Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012, background): “On the contrary, Choi and Zivot (2007) document that accommodating for structural breaks reduces the volatility persistence. reports the results of the structural break tests based on the application of the modified ICSS al-gorithm to the metal returns data over the in-sample period.”
- Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models (2012, background): “More importantly, recent research shows that the presence of structural breaks or regime switches can generate “spurious long memory process” in the observed data series (see, e.g., Granger and Hyung, 2004; Choi and Zivot, 2007; Choi et al., 2010).”
- Simple (but effective) tests of long memory versus structural breaks (2006, background): “12) of Robinson (1995), and ∑b a=1 ∑an/b t=(a−1)n/b+1 E(ηab 1/2z (a) t ) (2)|Ft−1) →p b(η2 1 + · · ·+ η2 b ) from (14), we establish (32) if we show, for a = 1, .”