Tsay, Wen-Jen; Härdle, Wolfgang Karl - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov … reveals that the finite sample performance of the proposed algorithm for a simple mixture model of Markov-switching mean and … ARFIMA(1, d, 1) process is satisfactory. We apply the Markov-switching-ARFIMA models to the U.S. real interest rates, the …