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person:"Cuñado Eizaguirre, Juncal"
~person:"Kumar, Dilip"
~person:"Leybourne, Stephen James"
~subject:"Schätztheorie"
~subject:"Theorie"
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Search: subject_exact:"Structural change test"
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Structural break
47
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47
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26
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26
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18
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18
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13
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structural breaks
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Cuñado Eizaguirre, Juncal
Kumar, Dilip
Leybourne, Stephen James
Pesaran, M. Hashem
32
Perron, Pierre
28
Timmermann, Allan
27
Sibbertsen, Philipp
20
Harvey, David I.
18
Taylor, Robert
16
Urga, Giovanni
15
Banerjee, Anindya
13
Lee, Junsoo
13
Pettenuzzo, Davide
13
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12
Hendry, David F.
11
Kleiber, Christian
11
Kapetanios, George
10
Kurozumi, Eiji
10
Wied, Dominik
10
Yamamoto, Yohei
10
Caporale, Guglielmo Maria
9
Clark, Todd E.
9
Gil-Alaña, Luis A.
9
Hall, Alastair R.
9
Krämer, Walter
9
McCracken, Michael W.
9
Pick, Andreas
9
Zeileis, Achim
9
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8
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8
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8
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8
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8
Parsaeian, Shahnaz
8
Popp, Stephan
8
Rodrigues, Paulo M. M.
8
Hassler, Uwe
7
Kim, Dukpa
7
Narayan, Paresh Kumar
7
Oka, Tatsushi
7
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7
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ECONIS (ZBW)
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1
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
2
Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator
Kumar, Dilip
- In:
Journal of quantitative economics
18
(
2020
)
3
,
pp. 587-610
Persistent link: https://www.econbiz.de/10012418856
Saved in:
3
Date-stamping multiple bubble regimes
Harvey, David I.
;
Leybourne, Stephen James
;
Whitehouse, …
- In:
Journal of empirical finance
58
(
2020
),
pp. 226-246
Persistent link: https://www.econbiz.de/10012430678
Saved in:
4
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
Saved in:
5
Testing for parameter instability in predictive regression models
Georgiev, Iliyan
;
Harvey, David I.
;
Leybourne, Stephen James
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 101-118
Persistent link: https://www.econbiz.de/10011974719
Saved in:
6
Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices
Kumar, Dilip
- In:
IIMB management review
28
(
2016
)
1
,
pp. 31-42
Persistent link: https://www.econbiz.de/10011508738
Saved in:
7
Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
Harvey, David I.
;
Leybourne, Stephen James
- In:
Economics letters
145
(
2016
),
pp. 239-245
Persistent link: https://www.econbiz.de/10011618823
Saved in:
8
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Harris, David
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 451-467
Persistent link: https://www.econbiz.de/10011704729
Saved in:
9
Confidence sets for the date of a break in level and trend when the order of integration is unknown
Harvey, David I.
;
Leybourne, Stephen James
- In:
Journal of econometrics
184
(
2015
)
2
,
pp. 262-279
Persistent link: https://www.econbiz.de/10011339345
Saved in:
10
Deterministic versus stochastic seasonal fractional integration and structural breaks
Caporale, Guglielmo Maria
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003428302
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