Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hwang, Eunju | - |
dc.contributor.author | Shin, Dong Wan | - |
dc.date.available | 2020-02-27T15:43:27Z | - |
dc.date.created | 2020-02-06 | - |
dc.date.issued | 2018 | - |
dc.identifier.issn | 0361-0926 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/5259 | - |
dc.description.abstract | Tests for structural breaks in the coefficients of the long-memory heterogeneous autoregressive (HAR) models are developed. The tests are based on the partial sum process of the normalized efficient score vector. The tests have the nice property of identifying the parameters of the daily, weekly, and monthly regressors in which breaks occur. Limiting null distributions of the proposed tests are proven to be derived from standard Brownian bridges. A finite sample Monte-Carlo experiment shows reasonable size and power properties of the proposed tests. The proposed method is illustrated by a real data analysis. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | TAYLOR & FRANCIS INC | - |
dc.relation.isPartOf | COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | - |
dc.subject | REALIZED VOLATILITY | - |
dc.subject | EXCHANGE | - |
dc.subject | STOCK | - |
dc.title | Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000441632900017 | - |
dc.identifier.doi | 10.1080/03610926.2017.1408827 | - |
dc.identifier.bibliographicCitation | COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, v.47, no.21, pp.5378 - 5389 | - |
dc.identifier.scopusid | 2-s2.0-85038618279 | - |
dc.citation.endPage | 5389 | - |
dc.citation.startPage | 5378 | - |
dc.citation.title | COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | - |
dc.citation.volume | 47 | - |
dc.citation.number | 21 | - |
dc.contributor.affiliatedAuthor | Hwang, Eunju | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | CUSUM | - |
dc.subject.keywordAuthor | HAR model | - |
dc.subject.keywordAuthor | long-memory | - |
dc.subject.keywordAuthor | parameter constancy | - |
dc.subject.keywordAuthor | realized volatility | - |
dc.subject.keywordAuthor | structural break | - |
dc.subject.keywordPlus | REALIZED VOLATILITY | - |
dc.subject.keywordPlus | EXCHANGE | - |
dc.subject.keywordPlus | STOCK | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
1342, Seongnam-daero, Sujeong-gu, Seongnam-si, Gyeonggi-do, Republic of Korea(13120)031-750-5114
COPYRIGHT 2020 Gachon University All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.