framework while identifying potential breaks and outliers. We used quarterly data on the six house price indexes, namely …, there is persistence in South African house prices with breaks identified. Our results show that in the cases of affordable …

cointegration analysis, both country and panel based, controlling for endogenous breaks. Results notably show: lack of cointegration …

of the joint existence of breaks and GARCH effects. It proposes a data-driven procedure to credibly identify the number … and timing of breaks and applies it on the benchmark stock-market indices of 27 OECD countries. The findings suggest that … a substantial element of the observed deviations from normality might indeed be due to the co-existence of breaks and …

structural breaks – a test procedure proposed by Carrion-i-Silvestre et al. The panel versions of the KPSS-type test, proposed by … Carrion-i-Silvestre et al. with and without structural breaks, are also applied. Findings – The paper finds that, while … univariate tests with and without structural breaks provide mixed results on persistence, the panel test suggests that shocks to …

-iid returns often exhibit ARCH effects and structural breaks, with largest breaks located within financial crises. Also, only a … strategies and benchmarks, but still both ARCH and breaks are present. Our work contributes to the hedge fund literature in terms …

with understanding the relationship between the number of structural breaks in the data and the nature of the resource … in many cases stationary and subject to a number of structural breaks. These results indicate that a deterministic model …

, we show that neglecting those breaks both in mean and in variance can have large effects on output volatility modelling …. Last we empirically show that observed breaks during the Great Recession are to some extent related to uncertainty measures. …