Modelling structural breaks, long memory and stock market volatility: an overview - ScienceDirect
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Los avances recientes en el análisis de series de tiempo reflejan una creciente necesidad
de desarrollar modelos que permitan capturar sus diversas características. Tal es el caso de …

Three classes of structural change tests (or tests for parameter instability) that have been
receiving much attention in both the statistics and the econometrics communities but have …

We analyze the empirical predictions of ambiguity aversion in intertemporal heterogenous
agents economies. We examine equilibria for two tract able wealth–homothetic settings of …

A break detection testing procedure for the well-known AR (p) linear panel data model with
exogenous or pre-determined regressors is developed. The proposed method can …

This paper proposes a robust semiparametric bootstrap method to estimate predictive
distributions of GARCH-type models. The method is based on a robust estimation of …

This article studies the local robustness of estimators and tests for the conditional location
and scale parameters in a strictly stationary time series model. We first derive optimal …

The electricity crisis in Pakistan is a very real problem and because of this, life as we know it
in Pakistan is extremely challenged. Imagine living in a country with power outages …

Agriculture in developed countries is produced under heavily subsidized insurance. The
pricing of these insurance contracts, termed premium rates, directly influences farmers …

The paper analyzes the behavior of a test for structural break based on quantile regression
estimates. It considers the case of an estimated break in conjunction with independent and …