Modelling structural breaks, long memory and stock market volatility: an overview

By Anindya Banerjee, G. Urga. 2005

247 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5d53dfeec9a2e4f2d76c9bc4897306cfb85aed85

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Citations in the corpus

Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression (2012, background): “changes. See, e.g., Hansen (2001), Banerjeea and Urga (2005) and Perron (2006) for excellent”
Uniform change point tests in high dimension (2015, background): “[4, 5, 7, 19, 20, 43] and the many references there), the multivariate setup, and especially the high-dimensional case are less often considered.”
Logistic map with memory from economic model (2017, background): “Memory effect in economic process The concept of memory is actively used in econometrics [7, 8].”
Structural breaks in time series (2013, background): “Results on the estimation of multiple break points can be found, for example, in Bai (1999), Banerjee and Urga (2005), Bernard et al. (2007) and Döring (2011).”
Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, background): “…been extensively studied both in the theoretical and in the applied literature for time series and volatility (see Baillie (1996) for a review, or Banerjee and Urga (2005) for a survey of more recent developments in the analysis of long memory), it has received considerably less attention in the…”
The Volatility of Realized Volatility (2005, methodology): “As already shown by Merton (1980) and extended by Comte and Renault (1998), Andersen and Bollerslev (1998), Andersen et al.”
Testing for changes in polynomial regression (2008, background): “For recent references, see Dufour and Ghysels (1996) and Banerjee and Urga (2005).”
Forecasting the realized volatility of the oil futures market: A regime switching approach (2017, background): “…many factors, such as business cycle, major events, and economic policy, the statistical property of volatility (e.g., volatility persistence) always undergoes structural breaks (e.g., Banerjee and Urga, 2005; Wahab and Lee, 2009) or switches between different regimes (Hamilton and Susmel, 1994).”
Trends and random walks in macroeconomic time series: A reappraisal (2012, background): “Their finding had a profound impact on the way economic series have been viewed and treated (Banerjee and Urga, 2005); in particular, if the series were indeed integrated, random shocks would have a permanent effect on the economy.”
Simple (but effective) tests of long memory versus structural breaks (2006, methodology): “n1/2−d0w(d̂)X →d w(d0)(Γ(d0+1))ωWd0+1(1) from (7) and d̂ →p d0.”
Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation (2007, methodology): “Nonetheless, Crowder (1994) tested for a unit root in a number of monthly forward discount series from 1974 to 1991 and failed to reject a unit root using augmented Dickey-Fuller tests.”