Long Memory and Regime Switching

Francis X. Diebold · Atsushi Inoue

80 citations0/0 files storedNational Bureau of Economic Research

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Complex Systems and Time Series Analysis

Abstract

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1997Modelling Extremal Events 1993A long memory property of stock market returns and a new model 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1996Statistics for Long-Memory Processes.2001The Distribution of Realized Exchange Rate Volatility 1996Long memory processes and fractional integration in econometrics

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