Browsing by Subject "Structural breaks"

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  • Essays on fractional cointegration and spurious long memory 
    Afzal, Alia (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2019)
    This thesis contains four essays on fractional cointegration and spurious long memory following the introduction and related literature in the first chapter. Chapter 2 provides an analysis of fractional integration and ...
  • Essays on structural change tests under long memory 
    Wenger, Kai Rouven (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    This thesis contains six essays on tests for structural change under long memory with applications to economic time series. Chapter 1 introduces structural change tests and the concept of long memory. The main problem ...
  • Essays on testing for nonlinearity in time series : issues in nonlinear cointegration, structural breaks and changes in persistence 
    Grote, Claudia (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    Besides obvious nonlinear relations like a nonlinear error correction model are nonlinearities in time series closely related to structural breaks and changes in persistence. Since both kinds of changes can induce ...
  • Essays on time series analysis and statistical machine learning 
    Meier, Johanna (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2023)
    This thesis encompasses three research articles contributing to the fields of time series analysis and statistical machine learning. Firstly, we develop a peaks-over- threshold approach, which captures both short- and ...
  • Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 
    Afzal, Alia; Sibbertsen, Philipp (Dordrecht [u.a.] : Springer Science + Business Media B.V, 2022)
    This study considers the long memory and fractional integration in the range-based volatilities across 30 currencies against USD. Graphical analysis of the autocorrelation function at long lags and pole near zero frequencies ...