Long memory and regime switching

DOI10.1016/S0304-4076(01)00073-2zbMath1040.62109OpenAlexW3124955081MaRDI QIDQ5952029

Publication date: 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00073-2

zbMATH Keywords

fractional integration mixture model Markov-switching model regime swtiching stochastic permanent break STOPBREAK structural change

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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longmemo

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