A generalized ARFIMA process with Markov-switching fractional differencing parameter
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Publication:3638584
DOI10.1080/00949650801910239zbMath1186.62111OpenAlexW2164969987MaRDI QIDQ3638584
Wen-Jen Tsay, Wolfgang Karl Härdle
Publication date: 27 October 2009
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650801910239
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Markov processes (60J99)
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Long memory and regime switching in the stochastic volatility modelling ⋮ A generalized ARFIMA model with smooth transition fractional integration parameter ⋮ On the estimation of short memory components in long memory time series models ⋮ Regime switching with structural breaks in output convergence ⋮ Markov regime switching in mean and in fractional integration parameter ⋮ Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
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