True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison
研究了金融时间序列中长记忆现象可能由结构突变或缓慢切换机制引起的伪效应，通过蒙特卡洛模拟比较了五种检验方法在区分真实与伪长记忆上的表现。
A common feature of financial time series is their strong persistence. Yet, long memory may just be the spurious effect of either structural breaks or slow switching regimes. We explore the effects of spurious long memory on the elasticity of the stock market price with respect to volatility and show how cross-sectional aggregation may generate spurious persistence in the data. We undertake an extensive Monte Carlo study to compare the performance of five tests, constructed under the null of true long memory versus the alternative of spurious long memory due to level shifts or breaks.