Modelling structural breaks, long memory and stock market volatility: an overview - ScienceDirect
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This paper describes some recent advances and contributions to our understanding of
economic forecasting. The framework we develop helps explain the findings of forecasting …

This chapter is concerned with methodological issues related to estimation, testing and
computation in the context of structural changes in the linear models. A central theme of the …

The theoretical and empirical econometric literatures on long memory and regime switching
have evolved largely independently, as the phenomena appear distinct. We argue, in …

This paper shows that occasional breaks generate slowly decaying autocorrelations and
other properties of I (d) processes, where d can be a fraction. Some theory and simulation …

This study investigates the impact of terrorist attacks and political violence on the number of
tourist arrivals and overnight stays in Tunisia. The dataset employed consists of monthly …

When forecasting time series, it is important to classify them according linearity behavior that
the linear time series remains at the forefront of academic and applied research, it has often …

The paper evaluates the performance of several recently proposed tests for structural breaks
in the conditional variance dynamics of asset returns. The tests apply to the class of ARCH …

The forecasting literature has identified two important issues:(i) several predictors have
substantial and statistically significant predictive content, although only sporadically, and it is …

This article deals with the analysis of structural breaks in the context of fractionally integrated
models. We assume that the break dates are unknown and that the different sub‐samples …