Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices

By Pierre Perron, Zhongjun Qu. 2010

195 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a653f5b52e50ebc8b3b836e42c23950edc966ce0

How researchers see this paper

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

In Economics and Econometrics

1. Pierre Perron
2. Jie Hou
3. Zhongjun Qu
4. Yang K. Lu
5. Rangan Gupta
6. Adnen Ben Nasr
7. A. Ajmi
8. Muhammad Shahbaz

In Finance

1. Jie Hou
2. Pierre Perron
3. Zhongjun Qu
4. Adnen Ben Nasr
5. Yang K. Lu
6. A. Ajmi
7. Rangan Gupta
8. Lajos Horv'ath

Citations in the corpus

• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (2014, methodology): “From MP, Perron and Qu (2010) and Qu (2011): Iyu(λk) = Op(T−1/2λ −(1+d0) k ) and fk = fz,k = fy,k + fu,k = Gλ −2d0 k + GuT −1λ−2k .”
• Long memory and regime switching: A simulation study on the Markov Regime-Switching ARFIMA model (2015, unknown): “In a recent study, Perron and Qu (2010) propose a test to effectively distinguish the long- and short-memory processes with mean shifts at the first moment of financial series.”
• Modeling and forecasting stock return volatility using a random level shift model (2010, background): “Perron and Qu (2008) showed that, when applied to daily S&P 500 absolute”
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS (2013, unknown): “Using Theorem 2 of Robinson (1995), an extension of arguments in Perron and Qu (2010) and Qu (2011), provides Ix ( λj )= Iv (λj)+ Iu (λj)+2Ivu (λj) , (2) where Iv (λj ) = Op(λ−2dj ), Iu(λj ) = Op(T −1λ−2j ), and Ivu(λj ) = Op(T −1/2λ−(1+d)j ).”
• Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model (2014, background): “However, recent contributions to this literature have attempted to discriminate between long memory and structural changes in the volatility process (Diebold and Inoue, 2001; Stărică and Granger, 2005; Mikosch and Stărică, 2004; Perron and Qu, 2007, 2010).”
• A Test Against Spurious Long Memory (2011, methodology): “The second test is the mean-td test of Perron and Qu (2010).”