Elena, Goldman; Jouahn, Nam; Hiroki, Tsurumi; Jun, Wang - In: Studies in Nonlinear Dynamics & Econometrics 17 (2013) 5, pp. 521-549
In this paper we model regimes and long memory in the dynamics of realized volatilities of intraday ETF and stock returns. We estimate threshold fractionally integrated (TARFIMA) models using Bayesian Markov Chain Monte Carlo (MCMC) algorithms with efficient jump. We also introduce a test based...