Time series econometrics and forecasting constitute a dynamic research area that combines sophisticated statistical methodologies with economic theory to model, interpret and predict economic and ...

We propose an intuitive and simple-to-use procedure for estimating the cointegration rank of a high-dimensional time series system with possible breaks. Based on a similar idea to a principal ...

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This is a preview. Log in through your library . Abstract Detecting and modeling structural changes in GARCH processes have attracted increasing attention in time series econometrics. In this paper, ...