This paper reviews the literature on structural breaks in financial time series. The second section discusses the implications of structural breaks in financial time series for statistical inference purposes. In
Journal of Time Series AnalysisAue, A. and Horv´ath, L.: Structural breaks in time series. Journal of Time Series Analysis 34(2013), 1-16.Aue, A. and Horv´ath, L.: Structural breaks in time series. Journal of Time Series Analysis, to ap- pear,2012....
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, ...
(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 ...
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...
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...
McMillan, D., Wohar, M.E. 2011. Structural breaks in volatility: The case of UK sector returns. Applied Financial Economics 21, 1079-1093.McMillan, D. and Wohar, M. (2011). Structural breaks in volatility: The case of UK sector returns. Applied Financial Economics, 21(15):1079-1093....
//sites.google.com/site/yianniskaravias/ i.karavias@bham.ac.uk 3Lund University, Lund, Sweden June 25, 2021 Motivation Econometric Model Test for multiple structural breaks Stata Syntax Examples Conclusion Motivation In time series or panel time series structural breaks (or change points) in the...
Hence, market estimates of volatility can serve as a measure of for the vulnerability of financial markets and the economy, and help policy makers to design appropriate policies. The impact of structural breaks on the accuracy of volatility forecasts has largely been ignored in previous research. ...
, the bank loans’ effect was significantly reduced, providing evidence that the trade credit’s redistribution channel collapsed after the 2007–2008 financial crisis. Andreou, E., and E. Ghysels. 2009. Structural breaks in financial time series. InHandbook of financial time series, ed. T. ...