Long memory and regime switching : a simulation study on the Markov regime-switching ARFIMA model
Year of publication: |
December 2015
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Authors: | Shi, Yanlin ; Ho, Kin-Yip |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 61.2015, 2, p. 189-204
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Subject: | Long memory | Regime switching | ARFIMA | Markov Regime-Switching ARFIMA | Markov-Kette | Markov chain | ARMA-Modell | ARMA model | Theorie | Theory | Simulation | Zeitreihenanalyse | Time series analysis |
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