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Long memory and regime switching: A simulation study on the Markov Regime-Switching ARFIMA model

Shi, Yanlin; Ho, Kin-Yip


Recent research argues that if the cause of confusion between long memory and regime switching were properly controlled for, they could be effectively distinguished. Motivated by this idea, our study aims to distinguish between them of financial series. We firstly model long memory and regime switching via the Autoregressive Fractionally Integrated Moving Average (ARFIMA) and Markov Regime-Switching (MRS) models, respectively. Their finite-sample properties and the confusion are investigated...[Show more]

CollectionsANU Research Publications
Date published: 2015
Type: Journal article
Source: Journal of Banking and Finance
DOI: 10.1016/j.jbankfin.2015.08.025


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