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Simple (but Effective) Tests Of Long Memory Versus Structural Breaks

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  1. Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie, 2018. "A multivariate test against spurious long memory," Journal of Econometrics, Elsevier, vol. 203(1), pages 33-49.
  2. Samet Günay, 2016. "Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets," IJFS, MDPI, vol. 4(2), pages 1-17, May.
  3. D. (Derek) Bond & Michael J. Harrison & Edward J. (Edward Joseph) O'Brien, 2009. "Exploring long memory and nonlinearity in Irish real exchange Rates using tests based on semiparametric estimation," Working Papers 200901, School of Economics, University College Dublin.
  4. Renzo Pardo Figueroa & Gabriel Rodríguez, 2014. "Distinguishing between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America," Documentos de Trabajo / Working Papers 2014-395, Departamento de Economía - Pontificia Universidad Católica del Perú.
  5. Luisa Bisaglia & Margherita Gerolimetto, 2009. "Testing structural breaks versus long memory with the Box–Pierce statistics: a Monte Carlo study," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(4), pages 543-553, November.
  6. Yohei Yamamoto & Pierre Perron, 2013. "Estimating and testing multiple structural changes in linear models using band spectral regressions," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 400-429, October.
  7. Peter S. Sephton, 2009. "Fractional integration in agricultural futures price volatilities revisited," Agricultural Economics, International Association of Agricultural Economists, vol. 40(1), pages 103-111, January.
  8. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-21, University of Connecticut, Department of Economics.
  9. Zhongjun Qu, 2011. "A Test Against Spurious Long Memory," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 423-438, July.
  10. Mccloskey, Adam & Perron, Pierre, 2013. "Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
  11. Less, Vivien & Sibbertsen, Philipp, 2022. "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP) dp-704, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  12. Manley, Bruce & Niquidet, Kurt, 2017. "How does real option value compare with Faustmann value when log prices follow fractional Brownian motion?," Forest Policy and Economics, Elsevier, vol. 85(P1), pages 76-84.
  13. Claudio Morana, 2014. "New insights on the US OIS spreads term structure during the recent financial turmoil," Applied Financial Economics, Taylor & Francis Journals, vol. 24(5), pages 291-317, March.
  14. M. A. Limam & V. Terraza & M. Terraza, 2017. "Hedge Fund Return Dynamics: Long Memory and Regime Switching," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(4), pages 148-166, October.
  15. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
  16. Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien, 2018. "Generating univariate fractional integration within a large VAR(1)," Journal of Econometrics, Elsevier, vol. 204(1), pages 54-65.
  17. Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E., 2017. "Changes in persistence, spurious regressions and the Fisher hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-28, June.
  18. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
  19. G. J. Power & C. Turvey, 2011. "What explains long memory in futures price volatility?," Applied Economics, Taylor & Francis Journals, vol. 43(24), pages 3395-3404.
  20. Alexander Boca Saravia & Gabriel Rodríguez, 2022. "Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR," Economic Change and Restructuring, Springer, vol. 55(3), pages 1973-2010, August.
  21. Jorge M. L. Andraz & Raúl F. C. Guerreiro & Paulo M. M. Rodrigues, 2018. "Persistence of travel and leisure sector equity indices," Empirical Economics, Springer, vol. 54(4), pages 1801-1825, June.
  22. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
  23. Davide Delle Monache & Stefano Grassi & Paolo Santucci, 2015. "Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach," Studies in Economics 1511, School of Economics, University of Kent.
  24. Lilian de Menezes & Melanie A. Houllier, 2013. "Modelling Germany´s Energy Transition and its Potential Effect on European Electricity Spot Markets," EcoMod2013 5395, EcoMod.
  25. Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "Crude oil price behaviour before and after military conflicts and geopolitical events," Energy, Elsevier, vol. 120(C), pages 79-91.
  26. Patrick Krieger & Carsten Lausberg & Kristin Wellner, 2018. "Einblicke in die Gründe für nicht-normalverteilte Immobilienrenditen: eine explorative Untersuchung deutscher Wohnimmobilienportfolios [Insights into the reasons for non-normal real estate returns:," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 4(1), pages 49-79, November.
  27. Christian M. Hafner & Arie Preminger, 2016. "The effect of additive outliers on a fractional unit root test," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 401-420, October.
  28. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2012. "Long memory and structural breaks in modeling the return and volatility dynamics of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 207-218.
  29. Berna Kirkulak-Uludag & Zorikto Lkhamazhapov, 2017. "Volatility Dynamics of Precious Metals: Evidence from Russia," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(4), pages 300-317, August.
  30. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
  31. de Figueiredo, Erik Alencar, 2010. "Dynamics of regional unemployment rates in Brazil: Fractional behavior, structural breaks, and Markov switching," Economic Modelling, Elsevier, vol. 27(5), pages 900-908, September.
  32. repec:ebl:ecbull:v:7:y:2007:i:1:p:1-11 is not listed on IDEAS
  33. Richard T. Baille & Claudio Morana, 2009. "Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach," ICER Working Papers - Applied Mathematics Series 06-2009, ICER - International Centre for Economic Research.
  34. Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2007. "Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-11.
  35. Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018. "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(1), pages 1-25, March.
  36. Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universtiy of Montpellier, revised Jun 2015.
  37. Kirkulak-Uludag, Berna & Lkhamazhapov, Zorikto, 2016. "The volatility dynamics of spot and futures gold prices: Evidence from Russia," Research in International Business and Finance, Elsevier, vol. 38(C), pages 474-484.
  38. de Menezes, Lilian M. & Houllier, Melanie A. & Tamvakis, Michael, 2016. "Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices," Energy Policy, Elsevier, vol. 88(C), pages 613-627.
  39. Sylvain Prado, 2011. "Free lunch in the oil market: a note on Long Memory," Working Papers hal-04140982, HAL.
  40. Giorgio Canarella & Stephen M Miller, 2017. "Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(1), pages 78-103, January.
  41. Baillie, Richard T. & Morana, Claudio, 2012. "Adaptive ARFIMA models with applications to inflation," Economic Modelling, Elsevier, vol. 29(6), pages 2451-2459.
  42. Grassi, Stefano & Santucci de Magistris, Paolo, 2014. "When long memory meets the Kalman filter: A comparative study," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 301-319.
  43. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
  44. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  45. Charfeddine, Lanouar & Maouchi, Youcef, 2019. "Are shocks on the returns and volatility of cryptocurrencies really persistent?," Finance Research Letters, Elsevier, vol. 28(C), pages 423-430.
  46. Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2017. "Does the ARFIMA really shift?," CREATES Research Papers 2017-16, Department of Economics and Business Economics, Aarhus University.
  47. Arturo Leccadito & Omar Rachedi & Giovanni Urga, 2015. "True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 34(4), pages 452-479, April.
  48. Marco R. Barassi & Nicola Spagnolo & Yuqian Zhao, 2018. "Fractional Integration Versus Structural Change: Testing the Convergence of $$\hbox {CO}_{2}$$ CO 2 Emissions," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 71(4), pages 923-968, December.
  49. 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.
  50. Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, Department of Economics and Business Economics, Aarhus University.
  51. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
  52. Omane-Adjepong, Maurice & Boako, Gideon, 2017. "Long-range dependence in returns and volatility of global gold market amid financial crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 188-202.
  53. Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.
  54. Jian Zhou, 2011. "Long memory in REIT volatility revisited: genuine or spurious, and self-similar?," Journal of Property Research, Taylor & Francis Journals, vol. 28(3), pages 213-232, January.
  55. de Menezes, Lilian M. & Houllier, Melanie A., 2015. "Germany's nuclear power plant closures and the integration of electricity markets in Europe," Energy Policy, Elsevier, vol. 85(C), pages 357-368.
  56. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.
  57. Peter Sephton, 2009. "Critical values for the augmented efficient Wald test for fractional unit roots," Empirical Economics, Springer, vol. 37(3), pages 615-626, December.
  58. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.
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