Segmenting mean-nonstationary time series via trending regressions

Author:

Aue Alexander,Horváth Lajos,Hušková Marie

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference48 articles.

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2. Strong rules for detecting the number of breaks in a time series;Altissimo;Journal of Econometrics,2003

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4. Detecting multiple breaks in financial market volatility dynamics;Andreou;Journal of Applied Econometrics,2002

5. Structural breaks in financial time series;Andreou,2010

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