Long memory and regime switching in the stochastic volatility modelling

DOI10.1007/S10479-020-03841-ZMaRDI QIDQ2678633zbMATH OpenOpenAlexFDO

Authors Yanlin Shi

Publication date 23 January 2023

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-020-03841-z

zbMATH Keywords

MCMCregime switchinglong memorystochastic volatility

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Mathematical economics (91Bxx) Inference from stochastic processes (62Mxx)

Cites work

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Cited in

(4)

• The detection and estimation of long memory in stochastic volatility
• A Regime-Switching Model of Long-Term Stock Returns
• Long memory with Markov-switching GARCH
• Combining long memory and level shifts in modelling and forecasting the volatility of asset returns

Describes a project that uses

Uses Software

• cpm

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