Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
时间序列模型中的非线性、结构突变与长程依赖
We study the simultaneous occurrence of long memory and nonlinear effects, such as parameter changes and threshold effects, in time series models and apply our modeling framework to daily realized measures of integrated variance. We develop asymptotic theory for parameter estimation and propose two model-building procedures. The methodology is applied to stocks of the Dow Jones Industrial Average during the period 2000 to 2009. We find strong evidence of nonlinear effects in…