Long Memory and Regime Switching

By Francis X. Diebold, A. Inoue. 2000

1,202 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/502da32bf6f732e7970967ef5e5276b632354d70

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Citations in the corpus

Nonstationarities in Stock Returns (2005, background): “4 The list of relevant references includes Hidalgo and Robinson (1996), Lobato and Savin (1998), Granger and Hyung (1999), Granger and Teräsvirta (1999), Diebold and Inoue (2001), and Mikosch and Stărică (2004).”
A jump diffusion model for VIX volatility options and futures (2010, background): “One must view this evidence with caution since long-memory tests are sensitive to a variety of factors such as structural breaks, outliers, regime switching and nonlinear transformations (see, for example, Diebold and Inoue, 2001; Engle and Smith, 1999; Dittmann and Granger, 2002).”
Testing for long memory in the presence of a general trend (2001, background): “For recent investigations of various aspects of the ‘spurious’ long memory we refer the reader to Teverovsky and Taqqu (1997), Lobato and Savin (1998), Bos et al. (1999), Mikosch and Stărică (1999), Granger and Hyung (1999) and Diebold and Inoue (2001).”
A Test Against Spurious Long Memory (2011, background): “See Kleme(1974), Diebold and Inoue (2001) and Gourieroux and Jasiak (2001) for discussions on processes with level shifts, and Bhattacharya, et al.”
Long Range Dependence (2007, background): “Mathematical Subject Classification: Primary 60G10, 62M10; Secondary 60F10 1”
Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials (2016, neutral): “This is consistent with other works that show that fractional integration and non-linearities are issues which are intimately related (Diebold and Inoue 2001; Granger and Hyung 2004; etc.).”
Strong Rules for Detecting the Number of Breaks in a Time Series (2003, background): “These empirical 0ndings are somewhat related to the problem of spurious identi0cation of long memory due to neglected structural breaks (Diebold and Inoue, 2001).”
Testing Models of Low‐Frequency Variability (2006, neutral): “This is perhaps not surprising given the instability in monetary policy regimes over the past two centuries and the connection between regime switching and long-memory models discussed in Diebold and Inoue (2001). Labor productivity and employee hours. The LBIM test rejects both the unitroot and I(0”
A multivariate long-memory model with structural breaks (2009, methodology): “Beran and Terrin [19] and Bos et al. [20] proposed Lagrange Multiplier tests for fractional integration with breaks, while Diebold and Inoue [12] relate long memory to regime-switching models.”
Estimation and interpretation of 1/fα noise in human cognition (2004, background): “For mathematical details on why regime-switching models can mimic LRD, see Diebold and Inoue (2000), Gourieroux and Jasiak (2001), and A. Smith (2002).”
Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (2010, neutral): “Simulation results presented in the literature (e.g., Diebold and Inoue 2001) have documented the fact that semiparametric methods, such as the log periodogram regression, yield estimates of the memory parameter d significantly above 0 when the DGP is a short-memory process with level shifts.”
Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012, background): “When structural shifts are effectively present in a stationary short memory process, the estimate of the fractional differencing parameter in LM-based volatility models departs away from zero, and shocks to volatility process only decay at a slowly hyperbolic rate (Diebold and Inoue, 2001; Perron an”
Asymptotic Properties of GARCH-X Processes (2015, background): “6 See Baillie et al. (1996) and Ding and Granger (1996) (fractionality of the order of integration), Engle and Lee (1999) (two components), Diebold and Inoue (2001) (switching regime), Mikosch and Starica (2004) (structural change), Granger and Hyung (2004) (occasional break) and Han and Park…”
Neglecting parameter changes in GARCH models (2005, background): “In the literature on fractionally integrated models, there is a parallel discussion of the connection between structural breaks and the estimation of the parameter of fractional integration (for example, Lobato and Savin, 1998; Granger and Hyung, 1999; Bos et al., 1999; Sakoulis and Zivot, 2000; Die”
Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach (2009, background): “(1 L) (2)t = w + [(1 L)(1 L)]y(2) t , (15)”