Markov regime switching in mean and in fractional integration parameter

DOI10.1080/03610918.2016.1222421MaRDI QIDQ4607353zbMATHOpenAlexFDO

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

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)

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Cites work

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

Cited in

(3)

• A generalized ARFIMA process with Markov-switching fractional differencing parameter
• Can Markov switching model generate long memory?
• Regime switching with structural breaks in output convergence

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