Changes of structure in financial time series and the GARCH model

By Thomas Mikosch, C. Starica. 2004

104 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f4bfc12207abd631e02b58bebd2db61ffed3b2ea

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Citations in the corpus

• 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).”
• Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (2010, background): “Mikosch and Stărică (2004b) consider the autocorrelation function of the absolute returns on the S&P 500 index for the period 1953–1977.”
• Long memory and regime switching: A simulation study on the Markov Regime-Switching ARFIMA model (2015, unknown): “Thus, the long memory observed for such data is “spurious”, as it could be caused by the regime switching (Mikosch and Starica, 2004; Granger and Hyung, 2004; Charfeddine and Guégan, 2012).”