Long memory in log-range series: do structural breaks matter?

Vasiliki Chatzinonstanti, Ioannis A. Venetis*

*Corresponding author for this work

Research output: Contribution to journalArticle

Abstract

This paper examines whether the observed long memory behavior of log-range series is to some extent spurious and whether it can be explained by the presence of structural breaks. Utilizing stock market data we show that the characterization of log-range series as long memory processes can be a strong assumption. Moreover, we find that all examined series experience a large number of significant breaks. Once the breaks are accounted for, the volatility persistence is eliminated. Overall, the findings suggest that volatility can be adequately represented, at least in-sample, through a multiple breaks process and a short run component.

Original languageEnglish
Pages (from-to)104-113
Number of pages10
JournalJournal of Empirical Finance
Volume33
Early online date3 Jul 2015
DOIs
Publication statusPublished - Sep 2015

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Structural breaks
Volatility persistence
Market data
Stock market
Long memory
Short-run
Multiple breaks
Long memory process

Bibliographical note

*

Keywords

  • log-range volatility proxy
  • long memory
  • stock market
  • structural breaks

Cite this

Chatzinonstanti, Vasiliki ; Venetis, Ioannis A. / Long memory in log-range series : do structural breaks matter?. In: Journal of Empirical Finance. 2015 ; Vol. 33. pp. 104-113.
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Long memory in log-range series : do structural breaks matter? / Chatzinonstanti, Vasiliki; Venetis, Ioannis A.

In: Journal of Empirical Finance, Vol. 33, 09.2015, p. 104-113.

Research output: Contribution to journalArticle

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