Estimation of structural mean breaks for long-memory data sets

An integrated heteroscedastic autoregressive model for forecasting realized volatilities

(2016) Soojin Cho et al.   Journal of the Korean Statistical Society

DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS

(2015) Bin Chen et al.   ECONOMETRIC THEORY

Wild binary segmentation for multiple change-point detection

(2014) Piotr Fryzlewicz   ANNALS OF STATISTICS

Multiple-change-point detection for high dimensional time series via sparsified binary segmentation

(2014) Haeran Cho et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Testing for multiple change points

(2013) Jaromír Antoch et al.   COMPUTATIONAL STATISTICS

Infinite-order, long-memory heterogeneous autoregressive models

(2013) Eunju Hwang et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Inference for single and multiple change-points in time series

(2013) Venkata Jandhyala et al.   JOURNAL OF TIME SERIES ANALYSIS

Structural breaks in time series

(2012) Alexander Aue et al.   JOURNAL OF TIME SERIES ANALYSIS

Non-Parametric Change-Point Tests for Long-Range Dependent Data

(2012) HEROLD DEHLING et al.   SCANDINAVIAN JOURNAL OF STATISTICS

Detecting changes in the mean of functional observations

(2009) István Berkes et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Ratio test for variance change point in linear process with long memory

(2009) Wenzhi Zhao et al.   STATISTICAL PAPERS

The Volatility of Realized Volatility

(2008) Fulvio Corsi et al.   Econometric Reviews

Testing structural breaks versus long memory with the Box–Pierce statistics: a Monte Carlo study

(2008) Luisa Bisaglia et al.   Statistical Methods and Applications