Long memory or shifting means? A new approach and application to realised volatility

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dc.contributor.authorRea, W.
dc.contributor.authorOxley, L.
dc.contributor.authorReale, M.
dc.contributor.authorMendes, E.
dc.date.accessioned2009-01-27T02:08:19Z
dc.date.available2009-01-27T02:08:19Z
dc.date.issued2008en
dc.descriptionNo. 04/2008en
dc.description.abstractIt is now recognised that long memory and structural change can be confused because the statistical properties of times series of lengths typical of financial and econometric series are similar for both models. We propose a new set of methods aimed at distinguishing between long memory and structural change. The approach, which utilises the computational efficient methods based upon Atheoretical Regression Trees (ART), establishes through simulation the bivariate distribution of the fractional integration parameter, d, with regime length for simulated fractionally integrated series. This bivariate distribution is then compared with the data for the time series. We also combine ART with the established goodness of fit test for long memory series due to Beran. We apply these methods to the realized volatility series of 16 stocks in the Dow Jones Industrial Average. We show that in these series the value of the fractional integration parameter is not constant with time. The mathematical consequence of this is that the definition of H self-similarity is violated. We present evidence that these series have structural breaks.en
dc.identifier.citationRea, W., Oxley, L., Reale, M., Mendes, E. (2008) Long memory or shifting means? A new approach and application to realised volatility. University of Canterbury. 28pp..en
dc.identifier.urihttp://hdl.handle.net/10092/2050
dc.language.isoen
dc.publisherDepartment of Economics and Financeen
dc.publisherUniversity of Canterbury. Economics.en
dc.publisherUniversity of Canterbury. Mathematics and Statistics.en
dc.relation.urihttp://www.econ.canterbury.ac.nz/research/pdf/0804.pdfen
dc.rights.urihttps://hdl.handle.net/10092/17651en
dc.subjectlong-range dependenceen
dc.subjectstrong dependenceen
dc.subjectglobal dependenceen
dc.subjectHurst phenomenaen
dc.subject.marsdenFields of Research::340000 Economics::340200 Applied Economics::340203 Finance economicsen
dc.subject.marsdenFields of Research::340000 Economics::340400 Econometrics::340402 Econometric and statistical methodsen
dc.subject.marsdenFields of Research::350000 Commerce, Management, Tourism and Services::350300 Banking, Finance and Investmenten
dc.titleLong memory or shifting means? A new approach and application to realised volatilityen
dc.typeDiscussion / Working Papers
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