This paper considers the estimation of multiple structural changes occurring at unknown dates in one or multiple conditional quantile functions. The analysis covers time series models as well as models with repeated cross sections. We estimate the break dates and other parameters jointly by...

Empirical findings related to the time series properties of stock returns volatility indicate autocorrelations that decay slowly at long lags. In light of this, several long-memory models have been proposed. However, the possibility of level shifts has been advanced as a possible explanation for...