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Statistical Surveillance of Structural Breaks in Credit Rating Dynamics [PDF]
Entropy, 2020 The 2007–2008 financial crisis had severe consequences on the global economy and an intriguing question related to the crisis is whether structural breaks in the credit market can be detected.
Haipeng Xing, Ke Wang, Zhi Li, Ying Chen
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EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS
Economic Journal of Emerging Markets, 2011 This research estimates the exchange rate pass-through (ERPT) into import prices by applying an extension of the basic model of ERPT on Indonesia. It estimates models of cointegration and error-correction mechanism (ECM), with and without structural ...
Arintoko Arintoko
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Current-account breaks and stability spells in a global perspective [PDF]
Applied Economic Analysis, 2022 Purpose – This study aims to identify structural breaks in the current account and the periods between these breaks, which the authors name stability spells, and study their characteristics and determinants.
Alfonso Camba-Crespo +2 more
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Quantitative Finance and Economics, 2022 This paper quantitatively reveals the meaning of structural breaks for risk management by analyzing US and major European banking sector stocks. Applying newly extended Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity ...
Chikashi Tsuji
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Does innovation co-move with FDI? Evidence from OECD countries [PDF]
Panoeconomicus, 2022 In this study, the panel co-integration test combined with structural breaks was used to explore the long-term co-movement between FDI and patent and trademark applications, in accordance with 33 OECD countries from 1999 to 2018.
Chang Chun-Ping
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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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Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity [PDF]
Applied Economic Analysis, 2022 Purpose – This paper aims to test purchasing power parity (PPP) hypothesis for Greece, Italy, Ireland, Portugal and Spain, which are known as the GIIPS countries.
Saban Nazlioglu +3 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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Adding dummy variables: A simple approach for improved volatility forecasting in electricity market
Journal of Management Science and Engineering, 2023 This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility. Considering day-of-the-week effects, structural breaks, or both, we propose three classes of HAR models to forecast electricity ...
Xu Gong, Boqiang Lin
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