Occasional structural breaks and long memory

Clive W.J. Granger, Namwon Hyung

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

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 languageEnglish
Pages (from-to)739-764
Number of pages26
JournalAnnals of Economics and Finance
Volume14
Issue number2 B
StatePublished - 2013

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