Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov …
We propose a general class of Markov-switching-ARFIMA processes in order to com-
bine strands of long memory and Markov …: Markov chain; ARFIMA process; Viterbi algorithm; Long memory
JEL classification: C14, C22, C32, C52, C53, G12
∗This research …