Memory and infrequent breaks

By Christian Gouriéroux, Joann Jasiak. 2001

128 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/951eadaf46b48cfa39a5afb1439ce19c65663cad

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Citations in the corpus

The Copula-GARCH model of conditional dependencies: An international stock market application (2006, unknown): “…be inappropriate and that the long-memory feature may be in fact the consequence of a model with large but infrequent breaks (see Lamoureux and Lastrapes, 1990; Diebold and Inoue, 1999; or Gouriéroux and Jasiak, 2001).8 This approach has been followed, among others, by Ramchand and Susmel 7 Fig.”
Modeling and forecasting stock return volatility using a random level shift model (2010, background): “Relevant references on this issue include Diebold and Inoue (2001), Engle and Smith (1999), Gourieroux and Jasiak (2001), Granger and Ding (1996), Granger and Hyung (2004), Lobato and Savin (1998), Mikosch and St˘ aric˘ a (2004), Parke (1999) and Teverosovky and Taqqu (1997).”
Recent Advances in ARCH Modelling (2007, methodology): “t=1 { log σ t (2)(θ, b) + r(2) t σ∗ t (2)(θ, b) } , (54)”
An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts (2006, methodology): “The basis of the algorithm is the fact that conditional on J(1)∗ = u, we have (d̂− 1) =MT (u) + √ m ST HT (u) + op(1) withMT (u) defined by (14),HT (u) ∼ N(0, V2(u))with V2(u) = p limT→∞(1/4m) Pm j=1 a 2 j(ΛT,j− ET,j|u)(2) as defined by (16) and with ΛT,j defined by (12).”
Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (2010, unknown): “Relevant references on this issue include Diebold and Inoue (2001), Engle and Smith (1999), Gourieroux and Jasiak (2001), Granger and Ding (1996), Granger and Hyung (2004), Lobato and Savin (1998), Mikosch and Stărică (2004a), Parke (1999), and Teverosovky and Taqqu (1997).”
Simple (but effective) tests of long memory versus structural breaks (2006, unknown): “j=1 ν̃j λ̃ 2d0 j I (a) x (λ̃j), (24) where νj = log j−m−1 ∑m j=1 log j with ∑m j=1 νj = 0, and ν̃j is defined in the proof of Proposition 1.”
A New Class of Multivariate Skew Densities, with Application to GARCH Models (2002, methodology): “Interestingly, to avoid the dimensionality problem of most multivariate GARCHmodels, Engle (2002) and Engle and Sheppard (2001) show that the DCC model can be estimated consistently using a two step approach.”
A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models (2005, background): “…applications that the DCC was almost integrated, suggesting the presence of long-memory and/or structural change in the conditional correlation (see Diebold and Inoue 2001; Gourieroux and Jasiak 2001; Granger and Hyung 1999 for discussions about integration vs. long-memory and/or regime switching).”
Modelling structural breaks, long memory and stock market volatility: an overview (2005, background): “Gourieroux and Jasiak (2001) study how processes with infrequent regime switching may generate a long memory effect in the autocorrelation function. In this case fractional I(d) model for economic or financial analysis may lead to spurious results. Granger and Hyung (2004) notice that a linear proce”
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).”
Dealing with Structural Breaks (2005, background): “This problem has recently received a lot of attention, especially in the finance literature concerning the characteristics of stock returns volatility (see, in particular, Diebold and Inoue, 2001, Gourieroux and Jasiak, 2001, Granger and Hyung, 2004, Lobato and Savin, 1998, and Perron and Qu, 2004).”