Detection of spurious and real breaks in realized volatility: An empirical study of the DIJA

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dc.contributor.authorRea, W.
dc.contributor.authorMendes, E.
dc.contributor.authorOxley, L.
dc.contributor.authorReale, M.
dc.date.accessioned2009-01-27T01:56:31Z
dc.date.available2009-01-27T01:56:31Z
dc.date.issued2007en
dc.description.abstractGranger and Hyung (2004), Diebold and Inoue (2001) and Smith (2005) demonstrate how long memory and structural change can be confused because their finite sample properties are similar. In this paper we present a new approach to detecting multiple breaks in a series. The approach, which utilises the computational efficient methods based upon Atheoretical Regression Trees (ART), also allows categorisation of breaks as either 'spurious' or 'real'. We present empirical examples of the use of the approach utilising data on realised volatility from 16 Dow Jones Industrial Average index stock. Particular attention is placed on 5 stocks which exhibit long memory based upon the Beran (1992) test. Some statistical properties of the regimes identified are also considered.en
dc.identifier.citationRea, B., Mendes, E., Oxley, L., Reale, M. (2007) Detection of spurious and real breaks in realized volatility: An empirical study of the DIJA. Brisbane, Australia: Workshop on Non-Linear and Complex Systems Analysis, 27-28 Sep 2007.en
dc.identifier.urihttp://hdl.handle.net/10092/2049
dc.language.isoen
dc.publisherUniversity of Canterbury. Economics.en
dc.publisherUniversity of Canterbury. Mathematics and Statistics.en
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.titleDetection of spurious and real breaks in realized volatility: An empirical study of the DIJAen
dc.typeConference Contributions - Published
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