Long-memory and level shifts in the volatility of stock market return indices

Journal of Business and Economic Statistics

Volumn 28, Issue 2, 2010, Pages 275-290

  Perron, Pierre ^a   Qu, Zhongjun ^a  

^a Boston University   (United States)

Author keywords

Fractional integration; Frequency domain estimates; Jumps; Long memory processes; Structural change

Indexed keywords

EID: 75749135652     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/jbes.2009.06171     Document Type: Article

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