Essays on time series analysis
This thesis is a collection of essays on modelling volatility with time series techniques. The first essay addresses the question of modelling structural breaks in the Fractionally Integrated Generalised Autoregressive Conditional Heteroskedasticity (FIGARCH) model. By detecting structural change points via the Markov Regime-Switching (MRS) framework, a two-stage Three-State FIGARCH (3S-FIGARCH) model is proposed. Compared with various existing FIGARCH family models, our empirical results...[Show more]
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