Add to ORKGIn this paper, in order to investigate if a long memory model will provide good forecasts even if the real DGP is affected by level shifts (as suggested by Diebold, F.X., Inoue, A., 2001. Long memory and regime switching Journal of Econometrics, 105, 131–159) we compare via simulations the forecasting performance of long memory and occasional breaks processes
Long range dependence and regime switching are very intimely related effects. In this paper we revie...
International audienceAre structural break models true switching models or long memory processes? Th...
textabstractThere is substantial evidence that several economic time series variables experience occ...
In this paper, in order to investigate if a long memory model will provide good forecasts even if th...
In this paper, in order to investigate if a long memory model will provide good forecasts even if th...
Recent research has found that processes with occasional structural breaks could be hardly distingui...
Summary Recent research has focused on the links between long memory and structural breaks, stressin...
Recent research has focused on the links between long memory and structural change, stress-ing the l...
Recent research has focused on the links between long memory and structural change, stressing the l...
In the last decade lot of interest, both in the econometric and statistical literature, has been pai...
Long-range dependence and structural changes in level are intimely related phenomena and it is very ...
Long-range dependence and structural changes in level are intimely related phenomena and it is very ...
Long range dependence and regime switching are very intimely related effects. In this paper we revie...
International audienceAre structural break models true switching models or long memory processes? Th...
textabstractThere is substantial evidence that several economic time series variables experience occ...
In this paper, in order to investigate if a long memory model will provide good forecasts even if th...
In this paper, in order to investigate if a long memory model will provide good forecasts even if th...
Recent research has found that processes with occasional structural breaks could be hardly distingui...
Summary Recent research has focused on the links between long memory and structural breaks, stressin...
Recent research has focused on the links between long memory and structural change, stress-ing the l...
Recent research has focused on the links between long memory and structural change, stressing the l...
In the last decade lot of interest, both in the econometric and statistical literature, has been pai...
Long-range dependence and structural changes in level are intimely related phenomena and it is very ...
Long-range dependence and structural changes in level are intimely related phenomena and it is very ...
Long range dependence and regime switching are very intimely related effects. In this paper we revie...
International audienceAre structural break models true switching models or long memory processes? Th...
textabstractThere is substantial evidence that several economic time series variables experience occ...