Can Markov switching model generate long memory?
Changryong Baek; Natércia Fortuna; Vladas Pipiras
| Year of publication: |
2014
|
|---|---|
| Authors: | Baek, Changryong ; Fortuna, Natércia ; Pipiras, Vladas |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 124.2014, 1, p. 117-121
|
| Subject: | Markov switching model | Long memory | Changes in mean | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010490562