Markov regime switching in mean and in fractional integration parameter

DOI10.1080/03610918.2016.1222421MaRDI QIDQ4607353zbMATH OpenOpenAlexFDO

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 integrationlong memory time seriesMarkov regime switching

Mathematics Subject Classification ID

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

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Cites work

• A generalized ARFIMA process with Markov-switching fractional differencing parameter
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• 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)

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

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