Forecasting a long memory process subject to structural breaks

Journal of Econometrics

Volumn 177, Issue 2, 2013, Pages 171-184

  Wang, Cindy Shin Huei ^a,b   Bauwens, Luc ^a   Hsiao, Cheng ^c,d,e  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b NATIONAL TSING HUA UNIVERSITY   (Taiwan)

^c UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^d HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^e XIAMEN UNIVERSITY   (China)

Author keywords

Forecasting; HAR model; Long memory process; Structural break

Indexed keywords

COMPUTER SIMULATION; MONTE CARLO METHODS; SAMPLING;

AUTO REGRESSIVE MODELS; ESTIMATION INACCURACIES; FORECASTING PROCEDURES; INFORMATION CRITERION; LONG MEMORY PROCESS; MONTE CARLO EXPERIMENTS; REALIZED VOLATILITY; STRUCTURAL BREAK;

FORECASTING;

EID: 84886721200     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.04.006     Document Type: Article

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