Regime switching models : real or spurious long memory ?.
Year of publication: |
2005-12
|
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Authors: | Guegan, Dominique ; Rioublanc, Stéphanie |
Institutions: | Maison des Sciences Économiques, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Markov switching processes | FARMA processes | forecasts | jumps |
Extent: | application/pdf |
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Series: | Cahiers de la Maison des Sciences Economiques. - ISSN 1624-0340. |
Type of publication: | Book / Working Paper |
Notes: | 28 pages |
Classification: | C13 - Estimation ; C32 - Time-Series Models ; E3 - Prices, Business Fluctuations, and Cycles |
Source: |
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