Markov regime switching in mean and in fractional integration parameter

DOI10.1080/03610918.2016.1222421zbMath1385.62026OpenAlexW2518831428MaRDI QIDQ4607353

Ege Yazgan, Harun Özkan, Thanasis Stengos

Publication date: 13 March 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1222421

zbMATH Keywords

fractional integrationMarkov regime switchinglong memory time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

Related Items (1)

Regime switching with structural breaks in output convergence

Cites Work

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