This paper proposes a monitoring cumulative sum of squares (CUSQ)-type test for structural breaks in real-time via an auto-regressive (AR) approximation framework when data generating process (DGP) is a long memory process. The limiting distribution of the monitoring test follows a Brownian...

We develop an easy-to-implement method for forecasting a stationary auto-regressive fractionally integrated moving average (ARFIMA) process subject to structural breaks with unknown break dates. We show that an ARFIMA process subject to a mean shift and a change in the long memory parameter can...

This paper proposes an easy-to-implement approach to forecasting the multivariate long memory process on same realization and further examines its usefulness on forecasting multivariate volatility series. This procedure bases on the extension of the analysis of Lewis and Reinsel (1985) to the...

This paper focuses on revisiting an old issue by advanced econometrics analysis: the risks in the U.S. stock market. We analyze the firm's exposure to exchange rate, interest rate, and market shocks by the pooled regression with the error cross-section dependency. We not only examine the...