Abstract
This paper shows that a linear process with breaks can mimic autocorrelations and other properties of I(d) processes, where d can be a fraction. Simulation results show that S&P 500 absolute stock returns are more likely to show the "long memory" property because of the presence of breaks in the series rather than an I(d) process.
Original language | English |
---|---|
Pages (from-to) | 739-764 |
Number of pages | 26 |
Journal | Annals of Economics and Finance |
Volume | 14 |
Issue number | 2 B |
State | Published - 2013 |