APPLICATION OF LONG-TERM MEMORY AND STRUCTURAL BREAK' MODELS: A QUANTITATIVE APPROACH

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

KASHI M.; SHAMS M.F.; DONYAEI M.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:4 | Issue:16 Page(s): 23-50

Download Full-Text

Persian Verion

View:

1,230

Download:

Cites:

Information Journal Paper

Title

APPLICATION OF LONG-TERM MEMORY AND STRUCTURAL BREAK' MODELS: A QUANTITATIVE APPROACH

Author(s)

KASHI M. | SHAMS M.F. | DONYAEI M. | Issue Writer Certificate

Keywords

STRUCTURAL BREAKQ1

LONG -TERM MEMORYQ2

FRACTIONAL INTEGRATION PROCESSQ2

LEVEL SHIFTQ2

Abstract

A short memory process that encounters occasional STRUCTURAL BREAKs in mean can show a slower rate of decay in the autocorrelation function and other properties of fractional integrated I (d) processes. In the present study, this is discussed by long-term memory's semi-parametric and parametric tests and diagnosis and determine the time breakpoints by OLS tests based on CUSUM, SupF and Bai and Perron (1998, 2003). The result indicates that there are simultaneously long memory and time breakpoints in TEPIX series. Therefore, for a correct deduced about the market memory, statistical proporties and long-term memory tests was checked in pre and post periods of time breakpoints. Results is supported the approximately same statistical properties and existence of long memory in all divided partitions. Moreover, to ensure the long-term memory is unaffected by the STRUCTURAL BREAKs, Smith' (2005) modified GPH test was used. Resulting in, modified GPH estimator has supported the unaffected of long-term memory from breakpoints. Finally, it can be claimed that the TEPIX memory is long and actual. Therefore, this evidence shows a true long memory not due to STRUCTURAL BREAK.

Cites

LONG-TERM MEMORY AND LEVEL SHIFTS: APPLICATION OF THE MODIFIED GPH TEST IN TEHRAN STOCK EXCHANGE

References

Cite

APA: Copy

KASHI, M., SHAMS, M.F., & DONYAEI, M.. (2013). APPLICATION OF LONG-TERM MEMORY AND STRUCTURAL BREAK' MODELS: A QUANTITATIVE APPROACH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(16), 23-50. SID. https://sid.ir/paper/197546/en

Vancouver: Copy

KASHI M., SHAMS M.F., DONYAEI M.. APPLICATION OF LONG-TERM MEMORY AND STRUCTURAL BREAK' MODELS: A QUANTITATIVE APPROACH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;4(16):23-50. Available from: https://sid.ir/paper/197546/en

IEEE: Copy

M. KASHI, M.F. SHAMS, and M. DONYAEI, “APPLICATION OF LONG-TERM MEMORY AND STRUCTURAL BREAK' MODELS: A QUANTITATIVE APPROACH,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 16, pp. 23–50, 2013, [Online]. Available: https://sid.ir/paper/197546/en

Related Journal Papers