Markov regime switching in mean and in fractional integration parameter

DOI10.1080/03610918.2016.1222421zbMATH Open1385.62026OpenAlexW2518831428MaRDI QIDQ4607353FDOQ4607353

Authors: Harun Özkan, Ege Yazgan, Thanasis Stengos 

Publication date: 13 March 2018

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1222421

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zbMATH Keywords

fractional integrationMarkov regime switchinglong memory time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Long memory and regime switching
• Sample Splitting and Threshold Estimation
• Structural change in AR(1) models
• Stock market prices and long-range dependence
• Analysis of time series subject to changes in regime
• A regime switching long memory model for electricity prices
• Optimal decoding of linear codes for minimizing symbol error rate (Corresp.)
• Time-varying long-range dependence in US interest rates
• Ranking efficiency for emerging equity markets. II
• Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
• Testing for multiple structural changes in cointegrated regression models
• A generalized ARFIMA process with Markov-switching fractional differencing parameter

Cited In (2)

• A generalized ARFIMA process with Markov-switching fractional differencing parameter
• Regime switching with structural breaks in output convergence

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