Results 11 to 20 of about 2,365 (218)
The Equity Premium And Structural Breaks [PDF]
SSRN Electronic Journal, 1998 A long return history is useful in estimating the current equity premium even if the historical distribution has experienced structural breaks. The long series helps not only if the timing of breaks is uncertain but also if one believes that large shifts in the premium are unlikely or that the premium is associated, in part, with volatility.
Pastor, Lubos, Stambaugh, Robert F
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The structure of GUT breaking by orbifolding [PDF]
Nuclear Physics B, 2002 Latex, 23 pages, version to be published in Nucl.Phys ...
Hebecker, A, March-Russell, J
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Learning, forecasting and structural breaks [PDF]
Journal of Applied Econometrics, 2008 AbstractWe provide a general methodology for forecasting in the presence of structural breaks induced by unpredictable changes to model parameters. Bayesian methods of learning and model comparison are used to derive a predictive density that takes into account the possibility that a break will occur before the next observation.
John M Maheu, Stephen Gordon
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Scalable structural break detection [PDF]
Applied Soft Computing, 2012 This paper deals with a statistical model fitting procedure for non-stationary time series. This procedure selects the parameters of a piecewise autoregressive model using the Minimum Description Length principle. The existing chromosome representation of the piecewise autoregressive model and its corresponding optimisation algorithm are improved ...
Elteto, Tamas +3 more
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Structure and dynamics of breaking foams [PDF]
Physical Review E, 1995 Experimental results are presented for the relaxation of a two dimensional soap foam in which wall breakage is initiated through gentle warming of the foam cell. Significantly different phenomenology from the relaxation of nonbreaking foams is observed.
Burnett, G.D. +4 more
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Nonparametric inference on structural breaks [PDF]
Journal of Econometrics, 2000 This paper proposes estimators of location and size of structural breaks in a, possibly dynamic, nonparametric regression model. The structural breaks can be located at given periods of time and/or they can be explained by the values taken by some regressor, as in threshold models. No previous knowledge of the underlying regression function is required.
Delgado, Miguel A., Hidalgo, Javier
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Are There Structural Breaks in Realized Volatility? [PDF]
Journal of Financial Econometrics, 2008 Constructed from high-frequency data, realized volatility (RV) provides an accurate estimate of the unobserved volatility of financial markets. This paper uses a Bayesian approach to investigate the evidence for structural breaks in reduced form time-series models of RV. We focus on the popular heterogeneous autoregressive (HAR) models of the logarithm
Chun Liu, John M. Maheu
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Partial Structural Break Identification [PDF]
Oxford Bulletin of Economics and Statistics, 2017 AbstractWe propose an extension of the existing information criterion‐based structural break identification approaches. The extended approach helps identify both pure structural change (break) and partial structural change (break). A pure structural change refers to the case when breaks occur simultaneously in all parameters of regression equation ...
Han, C., Taamouti, A.
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Structural Break Tests Robust to Regression Misspecification
Econometrics, 2018 Structural break tests for regression models are sensitive to model misspecification. We show—analytically and through simulations—that the sup Wald test for breaks in the conditional mean and variance of a time series process exhibits severe
Alaa Abi Morshed +2 more
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Cointegration Tests in the Presence of Structural Breaks [PDF]
International Finance Discussion Papers, 1993 Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, using recently developed recursive Monte Carlo techniques, this paper investigates the properties of several cointegration tests when the marginal process of one of the variables in the cointegrating relationship is stationary with a structural break.
David F. Hendry +2 more
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