Transition Periods and Long Memory Property
|Author:||Mgr. Jan März|
|Year:||2015 - summer|
|Leaders:|| Mgr. Lukáš Vácha Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||This thesis examines the relationship between the distribution of structural breaks within a data sample
and the estimated parameter of long memory. We use Monte Carlo simulations to generate data from
processes with specific values of parameters. Subsequently we join the data with various shifts to mean
and examine how the estimates of the parameters vary from their true values. We have discovered that
the overestimate of the long memory parameter is higher when the breaks are clustered together. It
further increases when the signs of the shifts are positively correlated within the clusters while negative
correlation reduces the bias. Our findings enable the improvement of robustness of estimators against the
presence structural breaks.