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

By Yanlin Shi, K. Ho. 2015

61 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/696057265405c5bff929c82cefe928a9a823e7b0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Feng Ma
2. M. Wahab
3. Weiju Xu
4. Dengshi Huang
5. Yu Wei

In Finance

1. Feng Ma
2. M. Wahab
3. Weiju Xu
4. Dengshi Huang

Citations in the corpus

• Forecasting the realized volatility of the oil futures market: A regime switching approach (2017, result): “Similar to the existing studies, such as Bekaert et al. (2015), Goldman et al. (2013), Ma et al. (2015), Raggi and Bordignon (2012), Shi and Ho (2015), and Wang et al. (2016), we also consider two regimes: low volatility regime and high volatility regime.”