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Can we distinguish regime switching from long memory? A simulation evidence

Shi, Yanlin

Description

It is well known that long memory can be caused by regime switching and is easily confused with it. However, recent study suggests that if the cause of confusion was properly controlled for, long memory and regime switching could be distinguished. Motivated by this idea, our study aims to distinguish regime switching from long memory for the financial time series. In this article, we model long memory and regime switching via the ARFIMA and Markov regime-switching (MRS) frameworks,...[Show more]

CollectionsANU Research Publications
Date published: 2015
Type: Journal article
URI: http://hdl.handle.net/1885/75927
Source: Applied Economics Letters
DOI: 10.1080/13504851.2014.941526

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