An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts

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Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (2010, unknown): “This value is between the 5% and 10% quantiles of the asymptotic distribution provided p ≥ 5 (if p is smaller these quantiles would be lower; see Perron and Qu 2007).”
Modeling and forecasting stock return volatility using a random level shift model (2010, background): “has increased over the period 1973-1977. Perron and Qu (2007) analyzed the time and”
Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012, methodology): “Differently, the potential of structural breaks is ignored, which might then lead to the detection of “spurious” long memory if long memory is examined (Diebold and Inoue, 2001; Perron and Qu, 2007).”
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).”