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Estimating a change point in the long memory parameter

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  • Keiko Yamaguchi

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  • Keiko Yamaguchi, 2011. "Estimating a change point in the long memory parameter," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 304-314, May.
    • Handle: RePEc:bla:jtsera:v:32:y:2011:i:3:p:304-314
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    Cited by:

    1. Uwe Hassler & Barbara Meller, 2014. "Detecting multiple breaks in long memory the case of U.S. inflation," Empirical Economics, Springer, vol. 46(2), pages 653-680, March.
    2. Hassler, Uwe & Rodrigues, Paulo M.M. & Rubia, Antonio, 2014. "Persistence in the banking industry: Fractional integration and breaks in memory," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 95-112.

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