(2009), Structural breaks in financial time series, In Handbook of Financial Time Series. T.G. Andersen, R.A. Davis, J-P. Kreiß, and T. Mikosch (eds.). Springer.Andreou, E. and Ghysels, E. Structural breaks in financial time series. In Handbook of Financial Time Series, pages ...
(2014). Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies, Journal of Statistical Computation and Simulation, 84(5), pp.1115-1135.Meligkotsidou, L., Vrontos, I.D. (2012). Detecting structural breaks in multivariate financial time ...
Testing the Null of Stationarity in the Presence of Structural Breaks for Multiple Time Series This paper introduces various consistent tests for the null hypothesis of stationarity with possibly unknown multiple structural break points against the a... R Taylor,BC Ahn 被引量: 0发表: 2015年 1 Fo...
Structural breaks in time series 本文介绍了有关时间序列模型中结构性断裂的最新工作。尤其是,我们展示了如何修改基于流行的累积和 CUSUM 统计的程序,使其也可以用于表现出序列依赖性的数据。涵盖了无条件均值和条件均值以及方差和协方差/相关结构的结构性断裂。CUSUM过程在设计上是非参数的。如果数据允许进行参数化建...
time seriesunit-root testsmultiple breakpointssegmented trend stationaritycausalityC22O11E30This paper applies unit-root tests to 10 Chinese macroeconomic and financial time series that allow for the possibility of up to two endogenous structural breaks. We found that 6 of the series, i.e., GDP, ...
Structural Breaks in Financial Time Series This paper reviews the literature on structural breaks in financial time series. The second section discusses the implications of structural breaks in fina... E Andreou,E Ghysels - Springer Berlin Heidelberg 被引量: 112发表: 2009年 Testing for Smooth Stru...
Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks The predictive power of recently introduced components affecting correlations is investigated. The focus is on models allowing for a flexible specification... Audrino,Francesco...
The test rejects the null hypothesis of no structural break and detects a break in the fourth month of 2013. We can also perform a test for more than one structural break if we have ex-ante information about when the breaks might be. It's artificial, but let's use these same data and...
This paper provides a new approach to forecasting time series that are subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks occuring over the forecast horizon, taking account of the size and duration of past ...
Empirical evidence suggests that many macroeconomic and financial time series are subject to occasional structural breaks. In this paper we present analyti... A Timmermann,MH Pesaran - 《International Journal of Forecasting》 被引量: 338发表: 2004年 Real-time forecasting of GDP based on a large ...