A NOTE ON SPURIOUS BREAK, Econometric Theory, vol.14, issue.05, pp.663-669, 1998. ,
DOI : 10.1017/S0266466698145061
Estimating and Testing Linear Models with Multiple Structural Changes, Econometrica, vol.66, issue.1, pp.47-78, 1998. ,
DOI : 10.2307/2998540
Computation and analysis of multiple structural change models, Journal of Applied Econometrics, vol.6, issue.1, pp.1-22, 2003. ,
DOI : 10.1002/jae.659
Statistics for Long-Memory Processes, 1994. ,
Misspecified Structural Change, Threshold, and Markov-switching models, Journal of Econometrics, vol.109, issue.2, pp.239-237, 2002. ,
DOI : 10.1016/S0304-4076(02)00112-4
Which is the best for the US Ination rate: A structural changes model or a long memory process, p.12, 2007. ,
Random level-shift time series models, ARIMA approximations, and level-shift detection, Journal of Business and Economics Statistics, vol.8, pp.83-97, 1990. ,
Long memory in foreign-exchanges rates, Journal of Business and Economic Statistics, vol.11, issue.1, pp.93-101, 1993. ,
Long memory and regime switching, Journal of Econometrics, vol.105, issue.1, pp.131-159, 2001. ,
DOI : 10.1016/S0304-4076(01)00073-2
Stochastic Permanent Breaks, Review of Economics and Statistics, vol.81, issue.4, pp.553-574, 1999. ,
DOI : 10.1007/BF01206285
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS, Journal of Time Series Analysis, vol.50, issue.3, pp.15-39, 1983. ,
DOI : 10.1137/1010093
Varieties of long memory models, Journal of Econometrics, vol.73, issue.1, pp.61-78, 1996. ,
DOI : 10.1016/0304-4076(95)01733-X
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns, Journal of Empirical Finance, vol.11, issue.3, pp.399-421, 2004. ,
DOI : 10.1016/j.jempfin.2003.03.001
AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING, Journal of Time Series Analysis, vol.7, issue.1, pp.15-39, 1980. ,
DOI : 10.2307/3212527
A simple nonlinear time series model with misleading linear properties, Economics Letters, vol.62, issue.2, pp.161-165, 1999. ,
DOI : 10.1016/S0165-1765(98)00228-6
Memory and infrequent breaks, Economics Letters, vol.70, issue.1, pp.29-41, 2001. ,
DOI : 10.1016/S0165-1765(00)00346-3
How can we dene the concept of long memory ? An econometric survey, Econometric Reviews, vol.24, issue.2, 2005. ,
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, Econometrica, vol.57, issue.2, pp.357-384, 1989. ,
DOI : 10.2307/1912559
Long memory in ination rates: international evidence, Journal of Business and Economic Statistics, pp.1337-1382, 1995. ,
Fractional differencing, Biometrika, vol.68, issue.1, pp.165-176, 1981. ,
DOI : 10.1093/biomet/68.1.165
Ination rates: long-memory, level shifts, or both?, 2002. ,
An Approximate Wavelet MLE of Short- and Long-Memory Parameters, Studies in Nonlinear Dynamics & Econometrics, vol.3, issue.4, pp.239-253, 1999. ,
DOI : 10.2202/1558-3708.1051
Time-Varying Long-Memory in Volatility: Detection and Estimation with Wavelets, 2000. ,
Statistical aspects of self-similar processes, proceeding of the rst word congres of the Bernoulli Society, pp.67-74, 1987. ,
Estimating memory parameter in the US inflation rate, Economics Letters, vol.87, issue.2, pp.207-210, 2005. ,
DOI : 10.1016/j.econlet.2004.11.004
Semiparametric exploration of long memory in stock prices, Journal of Statistical Planning and Inference, vol.50, issue.2, pp.155-174, 1996. ,
DOI : 10.1016/0378-3758(95)00051-8
Threshold autoregressions, limit cycles, and data, Journal of the Royal Statistical Sociaty, B, vol.42, pp.245-92, 1980. ,
The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes, Journal of the American Statistical Association, vol.42, issue.284, pp.873-880, 1958. ,
DOI : 10.1080/01621459.1958.10501484
Tests of the Hypothesis That a Linear Regression System Obeys Two Separate Regimes, Journal of the American Statistical Association, vol.51, issue.290, pp.324-330, 1960. ,
DOI : 10.1080/01621459.1950.10483336
Log-Periodogram Regression of Time Series with Long Range Dependence, The Annals of Statistics, vol.23, issue.3, pp.1048-1072, 1995. ,
DOI : 10.1214/aos/1176324636
Exact local Whittle estimation of fractional integration, The Annals of Statistics, vol.33, issue.4, pp.1890-1933, 2005. ,
DOI : 10.1214/009053605000000309
A CENTRAL LIMIT THEOREM OF FOURIER TRANSFORMS OF STRONGLY DEPENDENT STATIONARY PROCESSES, Journal of Time Series Analysis, vol.10, issue.4, pp.375-383, 1989. ,
DOI : 10.1214/aos/1176350837