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Least‐squares Estimation of an Unknown Number of Shifts in a Time Series. (2000). Lavielle, Marc ; Moulines, Eric .
In: Journal of Time Series Analysis.
RePEc:bla:jtsera:v:21:y:2000:i:1:p:33-59.

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  1. .

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  2. An efficient approach to structural breaks and the case of automobile gasoline consumption in Australia. (2023). Hensher, David A ; Zeng, Jingjing ; Li, Zheng.
    In: Transportation Research Part A: Policy and Practice.
    RePEc:eee:transa:v:169:y:2023:i:c:s0965856423000149.

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  3. Robust multiscale estimation of time-average variance for time series segmentation. (2023). Cho, Haeran ; McGonigle, Euan T.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:179:y:2023:i:c:s0167947322002286.

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  4. Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory. (2022). Sibbertsen, Philipp ; Mboya, Mwasi.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-705.

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  5. The Mussa puzzle: A generalization. (2022). Petracchi, Cosimo.
    In: European Economic Review.
    RePEc:eee:eecrev:v:149:y:2022:i:c:s0014292122001295.

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  6. A comparison of single and multiple changepoint techniques for time series data. (2022). Killick, Rebecca ; Lund, Robert ; Gallagher, Colin ; Shi, Xuesheng.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:170:y:2022:i:c:s0167947322000135.

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  7. Estimating multiple breaks in mean sequentially with fractionally integrated errors. (2021). Pang, Tianxiao.
    In: Statistical Papers.
    RePEc:spr:stpapr:v:62:y:2021:i:1:d:10.1007_s00362-019-01104-z.

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  8. Most recent changepoint detection in censored panel data. (2021). Shah, Ismail ; Ali, Sajid ; Siddiqa, Hajra.
    In: Computational Statistics.
    RePEc:spr:compst:v:36:y:2021:i:1:d:10.1007_s00180-020-01028-5.

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  9. Was there ever a shift: Empirical analysis of structural-shift tests for return volatility. (2021). Kostyrka, Andreï ; Malakhov, Dmitry.
    In: Applied Econometrics.
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  10. The Mussa Puzzle: A Generalization. (2021). Petracchi, Cosimo.
    In: Working Papers.
    RePEc:bro:econwp:2021-001.

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  11. Robust discrimination between long?range dependence and a change in mean. (2021). Gerstenberger, Carina.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:42:y:2021:i:1:p:34-62.

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  12. Robust change point detection method via adaptive LAD-LASSO. (2020). Wang, Liming ; Li, Qiang.
    In: Statistical Papers.
    RePEc:spr:stpapr:v:61:y:2020:i:1:d:10.1007_s00362-017-0927-3.

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  13. Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series. (2020). Sibbertsen, Philipp ; Wenger, Kai ; Wingert, Simon.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-676.

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  14. Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection. (2020). Fryzlewicz, Piotr.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:103430.

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  15. Distinguishing between breaks in the mean and breaks in persistence under long memory. (2020). Sibbertsen, Philipp ; Mboya, Mwasi Paza ; Wingert, Simon.
    In: Economics Letters.
    RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520302196.

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  16. Forecasting oil futures market volatility in a financialized world: Why speculative activities matter. (2020). Nguyen, Chi M ; Chan, Leo H.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301153.

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  17. LM tests for joint breaks in the dynamics and level of a long-memory time series. (2020). Velasco, Carlos ; Dolado, Juan ; Rachinger, Heiko.
    In: CEPR Discussion Papers.
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  18. Multiscale change point detection for dependent data. (2020). Vetter, Mathias ; Eckle, Theresa ; Dette, Holger.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:47:y:2020:i:4:p:1243-1274.

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  19. The Memory of Beta Factors. (2019). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Hollstein, Fabian ; Becker, Janis.
    In: Hannover Economic Papers (HEP).
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  20. Ecological change points: The strength of density dependence and the loss of history. (2018). Ponciano, Jos M ; Dennis, Brian ; Taper, Mark L.
    In: Theoretical Population Biology.
    RePEc:eee:thpobi:v:121:y:2018:i:c:p:45-59.

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  21. Modelling time varying volatility spillovers and conditional correlations across commodity metal futures. (2018). Karanasos, Menelaos ; Nath, Rajat ; Margaronis, Zannis ; Ali, Faek Menla.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:57:y:2018:i:c:p:246-256.

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  22. A multivariate test against spurious long memory. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Busch, Marie.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:203:y:2018:i:1:p:33-49.

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  23. Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda.
    In: Economic Modelling.
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  24. Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro.
    In: Boston University - Department of Economics - Working Papers Series.
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  25. Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro.
    In: Papers.
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  26. Market Institutions and Price Relationships: The Case of Coffee in the Ethiopian Commodity Exchange. (2017). Rashid, Shahidur ; Kuma, Tadesse ; Lemma, Solomon ; Hernandez, Manuel A.
    In: American Journal of Agricultural Economics.
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  27. Bayesian analysis of multiple thresholds autoregressive model. (2017). Liu, Jinshan ; Xia, Qiang ; Pan, Jiazhu.
    In: Computational Statistics.
    RePEc:spr:compst:v:32:y:2017:i:1:d:10.1007_s00180-016-0673-3.

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  28. Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates. (2017). Leschinski, Christian ; Rinke, Saskia ; Busch, Marie.
    In: Hannover Economic Papers (HEP).
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  29. .

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  30. The informative role of trading volume in an expanding spot and futures market. (2016). Bhaumik, Sumon ; Karanasos, M ; Kartsaklas, A.
    In: Journal of Multinational Financial Management.
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  31. Financial connectedness among European volatility risk premia. (2015). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda.
    In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance).
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  32. Financial connectedness among European volatility risk premia. (2015). Muzzioli, Silvia ; lo Cascio, Iolanda ; Cipollini, Andrea.
    In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance).
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  33. Institutions and market integration: The case of coffee in the Ethiopian commodity exchange:. (2015). Rashid, Shahidur ; Hernandez, Manuel ; Kuma, Tadesse ; Lemma, Solomon .
    In: IFPRI discussion papers.
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  34. The Ethiopian Commodity Exchange and the coffee market: Are local prices more integrated to global markets?. (2015). Rashid, Shahidur ; Hernandez, Manuel ; Lemma, Solomon .
    In: 2015 Conference, August 9-14, 2015, Milan, Italy.
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  35. Volatility risk premia and financial connectedness. (2014). Muzzioli, Silvia ; cipollini, andrea ; lo Cascio, Iolanda.
    In: Center for Economic Research (RECent).
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  36. Volatility risk premia and financial connectedness. (2014). Muzzioli, Silvia ; cipollini, andrea ; lo Cascio, Iolanda.
    In: Department of Economics.
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  37. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks. (2014). MORANA, CLAUDIO.
    In: Working Papers.
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  38. Market interdependence and volatility transmission among major crops:. (2014). Robles, Luis ; Hernandez, Manuel ; Gardebroek, Cornelis.
    In: IFPRI discussion papers.
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  39. Multiple change-point detection for high-dimensional time series via sparsified binary segmentation. (2014). Fryzlewicz, Piotr ; Cho, Haeran .
    In: LSE Research Online Documents on Economics.
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  40. Quasi-maximum likelihood estimation for multiple volatility shifts. (2014). Baek, Changryong ; Lee, Taewook ; Kim, Moosup ; Noh, Jungsik .
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:86:y:2014:i:c:p:50-60.

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  41. Modelling stock volatilities during financial crises: A time varying coefficient approach. (2014). Menla Ali, Faek ; Paraskevopoulos, Alexandros G. ; Yfanti, Stavroula ; Karoglou, Michail ; Karanasos, Menelaos.
    In: Journal of Empirical Finance.
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  42. Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach. (2014). Menla Ali, Faek ; Paraskevopoulos, Alexandros ; Yfanti, Stavroula ; Karoglou, Michail ; Karanasos, Menelaos.
    In: Papers.
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  43. Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery. (2013). Schröder, Anna Louise ; Schroder, Anna Louise ; Fryzlewicz, Piotr.
    In: MPRA Paper.
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  44. A spatial dominance approach to evaluate the performance of stocks and bonds: Does the investment horizon matter?. (2013). Ibarra, Raul.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:53:y:2013:i:4:p:429-439.

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  45. Volatility spillovers in China’s crude oil, corn and fuel ethanol markets. (2013). Shiping, Li ; Haixia, Wu.
    In: Energy Policy.
    RePEc:eee:enepol:v:62:y:2013:i:c:p:878-886.

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  46. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets. (2013). Hernandez, Manuel ; Gardebroek, Cornelis.
    In: Energy Economics.
    RePEc:eee:eneeco:v:40:y:2013:i:c:p:119-129.

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  47. The change-point problem and segmentation of processes with conditional heteroskedasticity. (2013). Badagian, Ana ; Kaiser, Regina ; Pea, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws131718.

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  48. New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil. (2013). MORANA, CLAUDIO.
    In: CeRP Working Papers.
    RePEc:crp:wpaper:137.

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  49. Inference on a Structural Break in Trend with Fractionally Integrated Errors. (2013). Perron, Pierre ; Chang, Seong Yeon.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2013-020.

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  50. The Japanese economy in crises: A time series segmentation study. (2012). Xu, Danny Yuan ; Zhang, Yiting ; Yim, Woei Shyr ; Cheong, Siew Ann ; Fornia, Robert Paulo ; Lee, Gladys Hui Ting, ; Kok, Jun Liang .
    In: Economics - The Open-Access, Open-Assessment E-Journal.
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  51. Detecting and estimating changes in dependent functional data. (2012). Aston, John A. D., ; Kirch, Claudia.
    In: Journal of Multivariate Analysis.
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  52. Recursive computation of piecewise constant volatilities. (2012). Krämer, Walter ; Hohenrieder, Christian ; Kramer, Walter ; Davies, Laurie .
    In: Computational Statistics & Data Analysis.
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  53. How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets. (2012). Trupkin, Danilo ; Ibarra, Raul ; Hernandez, Manuel.
    In: 123rd Seminar, February 23-24, 2012, Dublin, Ireland.
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  54. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets. (2012). Hernandez, Manuel ; Gardebroek, Cornelis.
    In: 123rd Seminar, February 23-24, 2012, Dublin, Ireland.
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  55. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets. (2012). Hernandez, Manuel ; Gardebroek, Cornelis.
    In: 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington.
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  56. The Japanese economy in crises: A time series segmentation study. (2011). Xu, Danny Yuan ; Zhang, Yiting ; Yim, Woei Shyr ; Cheong, Siew Ann ; Fornia, Robert Paulo ; Lee, Gladys Hui Ting, ; Kok, Jun Liang .
    In: Economics Discussion Papers.
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  57. Penalized least absolute deviations estimation for nonlinear model with change-points. (2011). Ciuperca, Gabriela.
    In: Statistical Papers.
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  58. How far do shocks move across borders?Examining volatility transmission in major agricultural futures markets. (2011). Cid, Alejandro ; Rossi, Martin .
    In: Documentos de Trabajo/Working Papers.
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  59. About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis.. (2011). Sibbertsen, Philipp ; Stahl, Gerhard ; Bertram, Philip .
    In: Hannover Economic Papers (HEP).
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  60. How far do shocks move across borders?: Examining volatility transmission in major agricultural futures markets. (2011). Trupkin, Danilo ; Ibarra, Raul ; Hernandez, Manuel.
    In: IFPRI discussion papers.
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  61. Will the US economy recover in 2010? A minimal spanning tree study. (2011). Wong, Jian Cheng ; Zhang, Yiting ; Cheong, Siew Ann ; Prusty, Manamohan ; Lee, Gladys Hui Ting, ; Kok, Jun Liang .
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  62. How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets. (2011). Trupkin, Danilo ; Ibarra, Raul ; Hernandez, Manuel ; Ibarra-Ramirez, Raul .
    In: Working Papers.
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  63. Estimation and inference in unstable nonlinear least squares models. (2010). Hall, Alastair ; Boldea, Otilia.
    In: MPRA Paper.
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  64. A Test Against Spurious Long Memory. (2010). Qu, Zhongjun.
    In: Boston University - Department of Economics - Working Papers Series.
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  65. Dual long-memory, structural breaks and the link between turnover and the range-based volatility. (2009). Kartsaklas, A. ; Karanasos, M..
    In: Journal of Empirical Finance.
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  66. Una nota sobre las volatilidades de la tasa de interés y del tipo de cambio según diferentes instrumentos de política monetaria: México 1998-2008. (2009). Capistrán, Carlos ; Benavides, Guillermo .
    In: Monetaria.
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  67. Estimación de la curva de rendimiento para el Perú y su uso para el análisis monetario. (2009). Pereda, Javier.
    In: Monetaria.
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  68. ¿La inflación está de vuelta en Sudamérica?: choques exógenos, expectativas y credibilidad de la política monetaria. (2009). Mendieta, Pablo ; Cossio, Javier ; Cerezo, Sergio .
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  69. La curva de rendimiento y su relación con la actividad económica: una aplicación para México. (2009). Cavazos, Diana Salazar ; Cerecero, Mario Reyna ; Banda, Hector Salgado .
    In: Monetaria.
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  70. A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments: Mexico 1998-2008.. (2009). Capistrán, Carlos ; Benavides, Guillermo .
    In: Working Papers.
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  71. The increment ratio statistic. (2008). Surgailis, Donatas ; Vaiciulis, Marijus ; TEYSSIeRE, Gilles .
    In: Journal of Multivariate Analysis.
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  72. The limit distribution of the estimates in cointegrated regression models with multiple structural changes. (2008). Perron, Pierre ; Kejriwal, Mohitosh.
    In: Journal of Econometrics.
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  73. Joint segmentation of wind speed and direction using a hierarchical model. (2007). Tourneret, Jean-Yves ; Dobigeon, Nicolas.
    In: Computational Statistics & Data Analysis.
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  74. Structural change in macroeconomic time series: A complex systems perspective. (2006). Wild, Phillip ; Hinich, Melvin ; Foster, John.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:28:y:2006:i:1:p:136-150.

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  75. Are feedback factors important in modelling financial data?. (2006). Veiga, Helena.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws060101.

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  76. The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes. (2006). Perron, Pierre ; Kejriwal, Mohitosh.
    In: Boston University - Department of Economics - Working Papers Series.
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  77. A maximal moment inequality for long range dependent time series with applications to estimation and model selection. (2005). Ing, Ching-Kang ; Wei, Ching-Zong.
    In: Econometrics.
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  78. Change in unconditional foreign exchange rate volatility: an analysis of the GBP and USD price of the Euro from 2002 to 2003. (2005). Pattenden, Kerry ; Heaney, Richard.
    In: Applied Economics Letters.
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  79. The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997. (2005). .
    In: Asia-Pacific Financial Markets.
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  80. Modelling structural breaks, long memory and stock market volatility: an overview. (2005). Urga, Giovanni ; Banerjee, Anindya.
    In: Journal of Econometrics.
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  81. Testing for bubbles and change-points. (2005). Kirman, Alan ; TEYSSIeRE, Gilles .
    In: Journal of Economic Dynamics and Control.
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  82. Testing for parameter constancy in GARCH(p,q) models. (2004). Horvath, Lajos ; Berkes, Istvan ; Kokoszka, Piotr.
    In: Statistics & Probability Letters.
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  83. Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Granger, Clive ; Hyung, Namwon.
    In: Journal of Empirical Finance.
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  84. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
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  85. Test for Breaks in the Conditional Co-Movements of Asset Returns. (2003). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:3-2003.

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  86. Detecting multiple breaks in financial market volatility dynamics. (2002). Ghysels, Eric ; Andreou, Elena.
    In: Journal of Applied Econometrics.
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  87. Detecting Multiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:0202.

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  88. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-65.

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  89. How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets. (). Trupkin, Danilo ; Ibarra, Raul ; Hernandez, Manuel.
    In: 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil.
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