A new approach to detect long memory by fractional integration or short memory by structural break

Long memory in test statistics can either originate from fractional integration or be spuriously induced by a short memory process with a structural break. This research estimated and detected long memory from the two causes by simulations and empirical analysis. The simulation results showed that f...

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Bibliographic Details
Published in:AIMS Mathematics
Main Authors: Yirong Huang, Liang Ding, Yan Lin, Yi Luo
Format: Article
Language:English
Published: AIMS Press 2024-05-01
Subjects:
long memory
fractional integration
structural break
volatility
stock market
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2024798?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2024798?viewType=HTML

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