We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

This paper proposes an easy-to-implement approach to forecasting the multivariate long memory process on same realization and further examines its usefulness on forecasting multivariate volatility series. This procedure bases on the extension of the analysis of Lewis and Reinsel (1985) to the...