A generalized ARFIMA process with Markov-switching fractional differencing parameter

By Wen-Jen Tsay, Wolfgang Karl Härdle. 2009

51 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1dbbdeb57ebe6b0b0fb83b8d172185499fd9a546