Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model
Recent research argues that if the cause of confusion between long memory and regime switching were properly controlled for, they could be effectively distinguished. Motivated by this idea, our study aims to distinguish between them of financial series. We firstly model long memory and regime switch...
Saved in:
| Published in | Journal of banking & finance Vol. 61; pp. S189 - S204 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Amsterdam
Elsevier B.V
01.12.2015
Elsevier Sequoia S.A |
| Subjects | |
| Online Access | Get full text |
Cover
Loading…
| Abstract | Recent research argues that if the cause of confusion between long memory and regime switching were properly controlled for, they could be effectively distinguished. Motivated by this idea, our study aims to distinguish between them of financial series. We firstly model long memory and regime switching via the Autoregressive Fractionally Integrated Moving Average (ARFIMA) and Markov Regime-Switching (MRS) models, respectively. Their finite-sample properties and the confusion are investigated via simulations. To control for the cause of this confusion, we propose the MRS–ARFIMA model. A Monte Carlo study shows that this framework can effectively distinguish between the pure ARFIMA and pure MRS processes. Furthermore, MRS–ARFIMA outperforms the ordinary ARFIMA model for data simulated from the MRS–ARFIMA process. Finally, empirical studies of hourly and five-minute Garman–Klass and realized volatility of the FTSE index is conducted to demonstrate the advantages and usefulness of the proposed MRS–ARFIMA framework compared with the ARFIMA and MRS models in practice. |
|---|---|
| AbstractList | Recent research argues that if the cause of confusion between long memory and regime switching were properly controlled for, they could be effectively distinguished. Motivated by this idea, our study aims to distinguish between them of financial series. We firstly model long memory and regime switching via the Autoregressive Fractionally Integrated Moving Average (ARFIMA) and Markov Regime-Switching (MRS) models, respectively. Their finite-sample properties and the confusion are investigated via simulations. To control for the cause of this confusion, we propose the MRS-ARFIMA model. A Monte Carlo study shows that this framework can effectively distinguish between the pure ARFIMA and pure MRS processes. Furthermore, MRS-ARFIMA outperforms the ordinary ARFIMA model for data simulated from the MRS-ARFIMA process. Finally, empirical studies of hourly and five-minute Garman-Klass and realized volatility of the FTSE index is conducted to demonstrate the advantages and usefulness of the proposed MRS-ARFIMA framework compared with the ARFIMA and MRS models in practice. [web URL: http://www.sciencedirect.com/science/article/pii/S0378426615002368] Recent research argues that if the cause of confusion between long memory and regime switching were properly controlled for, they could be effectively distinguished. Motivated by this idea, our study aims to distinguish between them of financial series. We firstly model long memory and regime switching via the Autoregressive Fractionally Integrated Moving Average (ARFIMA) and Markov Regime-Switching (MRS) models, respectively. Their finite-sample properties and the confusion are investigated via simulations. To control for the cause of this confusion, we propose the MRS–ARFIMA model. A Monte Carlo study shows that this framework can effectively distinguish between the pure ARFIMA and pure MRS processes. Furthermore, MRS–ARFIMA outperforms the ordinary ARFIMA model for data simulated from the MRS–ARFIMA process. Finally, empirical studies of hourly and five-minute Garman–Klass and realized volatility of the FTSE index is conducted to demonstrate the advantages and usefulness of the proposed MRS–ARFIMA framework compared with the ARFIMA and MRS models in practice. |
| Author | Shi, Yanlin Ho, Kin-Yip |
| Author_xml | – sequence: 1 givenname: Yanlin surname: Shi fullname: Shi, Yanlin email: yanlin.shi@anu.edu.au organization: Research School of Finance, Actuarial Studies and Statistics, The Australian National University, Canberra, ACTON 2601, Australia – sequence: 2 givenname: Kin-Yip surname: Ho fullname: Ho, Kin-Yip organization: Research School of Finance, Actuarial Studies and Statistics, The Australian National University, Canberra, ACTON 2601, Australia |
| BookMark | eNqFkMFu2zAMhoWiA5ZkfYVBwM72SNmSnJ4WBMtWIEWBoj2rsk2ncmOpk5wOefu5SNdreSEP_0eC35yd--CJsa8IOQKq733e19Y_dc7nAlDmUOUg5BmbYaVFpgotztkMCl1lpVDqM5un1MNUFRYz9rANfscHGkI8cutbHmnnBuLprxubR-d3l3zFkxsOezu64HkaD-2RT8P4SPzaxqfw8oZk7whf3W6urld8CC3tv7BPnd0nunjrC3a_-Xm3_p1tb35drVfbrCk1jFkNtmkkilrCsiYroK6xqzolQZVVAbqUtVpK3XUFdpLawmJJSw0aS7CAaIsF-3ba-xzDnwOl0fThEP100qCWJaIQUk0pdUo1MaQUqTPP0Q02Hg2CebVpevPfpnm1aaAyk80J_HECafrhxVE0qXHkG2pdpGY0bXAfrfgHLkaCTQ |
| CODEN | JBFIDO |
| CitedBy_id | crossref_primary_10_1080_14697688_2020_1805505 crossref_primary_10_1016_j_chaos_2022_112444 crossref_primary_10_1016_j_chaos_2022_112884 crossref_primary_10_2139_ssrn_4251673 crossref_primary_10_1002_for_2691 crossref_primary_10_1016_j_jeconbus_2017_05_002 crossref_primary_10_1080_02664763_2016_1266310 crossref_primary_10_3390_math10111903 crossref_primary_10_1016_j_iref_2020_12_023 crossref_primary_10_1016_j_frl_2023_104714 crossref_primary_10_1007_s11203_022_09277_5 crossref_primary_10_1016_j_iref_2022_08_001 crossref_primary_10_1016_j_eneco_2017_08_004 crossref_primary_10_1007_s10479_020_03841_z crossref_primary_10_1111_sjpe_12110 crossref_primary_10_2139_ssrn_3838850 crossref_primary_10_1007_s10614_019_09882_2 crossref_primary_10_1016_j_econmod_2015_11_018 crossref_primary_10_1515_snde_2018_0008 crossref_primary_10_1016_j_resourpol_2021_102482 crossref_primary_10_1002_for_2737 crossref_primary_10_1016_j_jcorpfin_2020_101818 crossref_primary_10_1016_j_resourpol_2023_103612 crossref_primary_10_1016_j_intfin_2023_101904 crossref_primary_10_2139_ssrn_4048628 crossref_primary_10_1016_j_energy_2020_118743 crossref_primary_10_1007_s00181_021_02093_5 crossref_primary_10_1016_j_iref_2022_05_002 crossref_primary_10_1016_j_jempfin_2019_11_001 crossref_primary_10_1016_j_eneco_2021_105567 crossref_primary_10_1016_j_eneco_2023_106935 crossref_primary_10_1002_ijfe_2399 crossref_primary_10_1016_j_eneco_2024_107429 crossref_primary_10_1080_14697688_2023_2221296 crossref_primary_10_1016_j_najef_2020_101145 crossref_primary_10_1007_s10479_023_05484_2 crossref_primary_10_1016_j_iref_2023_10_038 crossref_primary_10_1080_23322039_2020_1733280 crossref_primary_10_1016_j_irfa_2022_102267 crossref_primary_10_1016_j_irfa_2022_102100 crossref_primary_10_1002_ijfe_2221 crossref_primary_10_1002_ijfe_2022 crossref_primary_10_3390_jrfm15120564 crossref_primary_10_1016_j_ribaf_2023_102084 crossref_primary_10_1016_j_eneco_2022_105854 crossref_primary_10_1016_j_eneco_2020_104689 crossref_primary_10_1007_s43546_022_00359_3 crossref_primary_10_1016_j_frl_2023_103693 crossref_primary_10_1016_j_cnsns_2023_107760 crossref_primary_10_1016_j_pacfin_2018_08_013 |
| Cites_doi | 10.1016/S0304-4076(98)00086-4 10.1073/pnas.0911983106 10.1007/s001810100100 10.1016/j.econmod.2012.08.030 10.1111/j.2517-6161.1995.tb02054.x 10.1016/0304-4076(95)01736-4 10.1016/j.jbankfin.2012.09.006 10.1016/j.irfa.2011.06.012 10.1016/j.qref.2012.04.004 10.1214/009053604000000021 10.1093/biomet/68.1.165 10.1016/j.econlet.2012.11.011 10.1016/0261-5606(94)90021-3 10.1016/j.amc.2009.08.005 10.1016/S0304-4076(02)00197-5 10.1016/j.ijforecast.2010.07.003 10.1093/jjfinec/nbh020 10.2307/1912559 10.2307/2938368 10.1016/j.irfa.2013.03.011 10.1016/j.irfa.2012.06.001 10.1016/j.jeconom.2005.07.021 10.1007/s10436-010-0156-4 10.1111/j.1368-423X.2008.00253.x 10.2307/1925546 10.1080/13504851.2014.941526 10.1111/j.1468-0262.2007.00809.x 10.1016/j.physa.2012.06.036 10.1016/0165-1889(88)90047-4 10.1016/j.csda.2010.12.008 10.1016/S0304-4076(95)01749-6 10.1086/296072 10.1016/j.jeconom.2005.01.007 10.1016/j.najef.2013.02.015 10.2202/1558-3708.1145 10.1016/0304-4076(92)90084-5 10.1198/jbes.2009.06171 10.1111/1468-0262.00418 10.1093/rfs/hhn004 10.1016/j.physa.2008.01.093 10.1111/jtsa.12074 10.1016/j.jbankfin.2010.11.007 10.1016/j.jempfin.2003.03.001 10.1016/j.jimonfin.2009.12.001 10.1016/S0304-4076(01)00073-2 10.1214/aos/1176347393 10.1016/j.jempfin.2004.08.001 |
| ContentType | Journal Article |
| Copyright | 2015 Elsevier B.V. Copyright Elsevier Sequoia S.A. Dec 2015 |
| Copyright_xml | – notice: 2015 Elsevier B.V. – notice: Copyright Elsevier Sequoia S.A. Dec 2015 |
| DBID | AAYXX CITATION 8BJ FQK JBE |
| DOI | 10.1016/j.jbankfin.2015.08.025 |
| DatabaseName | CrossRef International Bibliography of the Social Sciences (IBSS) International Bibliography of the Social Sciences International Bibliography of the Social Sciences |
| DatabaseTitle | CrossRef International Bibliography of the Social Sciences (IBSS) |
| DatabaseTitleList | International Bibliography of the Social Sciences (IBSS) |
| DeliveryMethod | fulltext_linktorsrc |
| Discipline | Business |
| EISSN | 1872-6372 |
| EndPage | S204 |
| ExternalDocumentID | 3913535991 10_1016_j_jbankfin_2015_08_025 S0378426615002368 |
| Genre | Feature |
| GroupedDBID | --K --M -~X .L6 .~1 0R~ 186 1B1 1OL 1RT 1~. 1~5 29J 3R3 4.4 41~ 457 4G. 5GY 5VS 63O 7-5 71M 8P~ 96U 9JO AABCJ AABNK AACTN AAEDT AAEDW AAFFL AAIAV AAIKJ AAKOC AALRI AAOAW AAPFB AAQFI AAQXK AAXUO AAYOK ABFNM ABFSI ABJNI ABLJU ABMAC ABPPZ ABXDB ABYKQ ACDAQ ACGFO ACGFS ACHQT ACNCT ACRLP ACROA ADBBV ADEZE ADFHU ADHUB ADIYS ADMUD AEBSH AEKER AEYQN AFAZI AFDAS AFFNX AFKWA AFODL AFTJW AGHFR AGTHC AGUBO AGYEJ AHHHB AI. AIEXJ AIIAU AIKHN AITUG AJBFU AJOXV AJWLA ALMA_UNASSIGNED_HOLDINGS AMFUW AMRAJ ASPBG AVWKF AXJTR AXLSJ AZFZN BEHZQ BEZPJ BGSCR BKOJK BKOMP BLXMC BNTGB BPUDD BULVW BZJEE CS3 DU5 E.L EBS EFJIC EFLBG EJD EO8 EO9 EP2 EP3 FDB FEDTE FGOYB FIRID FNPLU FYGXN G-2 G-Q GBLVA HLX HMB HVGLF HZ~ IHE IXIXF J1W KOM LG8 LPU LXN LY5 M41 MO0 MS~ N9A O-L O9- OAUVE OZT P-8 P-9 PC. PQQKQ Q38 R2- RIG ROL RPZ RXW SBM SDF SDG SDP SEB SEE SES SEW SPCBC SSB SSF SSZ T5K TAE TN5 TQQ TWZ U5U UQL VH1 WUQ XSW XYO YK3 ZCA ZCG ZRQ ~G- AAXKI AAYXX AFJKZ AKRWK CITATION 8BJ ADMHG FQK JBE |
| ID | FETCH-LOGICAL-c470t-b0acc512b509bea20bb1f8f65064830745b6957ff31f5ed3a14e9707140a011a3 |
| IEDL.DBID | AIKHN |
| ISSN | 0378-4266 |
| IngestDate | Thu Oct 10 18:21:46 EDT 2024 Thu Sep 26 15:48:08 EDT 2024 Fri Feb 23 02:32:55 EST 2024 |
| IsPeerReviewed | true |
| IsScholarly | true |
| Keywords | FTSE C22 Regime switching ARFIMA RMSE DGP Long memory SIRCA MRS QMLE ACFs TRTH Markov Regime-Switching ARFIMA AIC BIC C51 |
| Language | English |
| LinkModel | DirectLink |
| MergedId | FETCHMERGED-LOGICAL-c470t-b0acc512b509bea20bb1f8f65064830745b6957ff31f5ed3a14e9707140a011a3 |
| PQID | 1754112256 |
| PQPubID | 45371 |
| ParticipantIDs | proquest_journals_1754112256 crossref_primary_10_1016_j_jbankfin_2015_08_025 elsevier_sciencedirect_doi_10_1016_j_jbankfin_2015_08_025 |
| PublicationCentury | 2000 |
| PublicationDate | 2015-12-01 |
| PublicationDateYYYYMMDD | 2015-12-01 |
| PublicationDate_xml | – month: 12 year: 2015 text: 2015-12-01 day: 01 |
| PublicationDecade | 2010 |
| PublicationPlace | Amsterdam |
| PublicationPlace_xml | – name: Amsterdam |
| PublicationTitle | Journal of banking & finance |
| PublicationYear | 2015 |
| Publisher | Elsevier B.V Elsevier Sequoia S.A |
| Publisher_xml | – name: Elsevier B.V – name: Elsevier Sequoia S.A |
| References | Raggi, Bordignon (b0220) 2012; 56 Haldrup, Nielsen (b0145) 2006; 135 Haas (b0130) 2009; 215 Stanley, Plerou, Gabaix (b0235) 2008; 387 Ardia (b0010) 2009; 12 Cho, White (b0065) 2007; 75 Hosking (b0170) 1981; 68 Granger, Hyung (b0125) 2004; 11 Choi, Yu, Zivot (b0070) 2010; 29 Degiannakis, Floros, Dent (b0090) 2013; 27 Bollerslev, Mikkelsen (b0040) 1996; 75 Engle, Rangel (b0105) 2008; 21 Andersen, Bollerslev, Diebold, Labys (b0005) 2003; 71 Chortareas, Jiang, Nankervis (b0075) 2011; 27 Yalama, Celik (b0255) 2013; 30 Stentoft (b0240) 2005; 12 Podobnika, Horvaticd, Petersena, Stanleya (b0215) 2009; 106 Haas, Mittnik, Paolella (b0140) 2004; 2 Klaassen (b0185) 2002; 27 Bollerslev, Mikkelsen (b0045) 1999; 92 Douc, Moulines, Ryden (b0100) 2004; 32 Marcucci (b0195) 2005; 9 Wang, Vasilakis (b0250) 2012; 118 Perron, Qu (b0210) 2010; 28 Beran (b0030) 1995 Hyung, Poon, Granger (b0175) 2008 Shi (b0225) 2015; 22 Caporale, Gil-Alana (b0055) 2013; 29 Bollerslev (b0035) 1987; 69 Fleming, Kirby (b0110) 2011; 35 Lo (b0190) 1991; 59 Sowell (b0230) 1992; 53 Hamilton (b0155) 1989; 57 Baillie, Bollerslev, Mikkelsen (b0020) 1996; 74 Hamilton (b0160) 1994 Mikosch, Starica (b0200) 2004; 2 Susmel, Engle (b0245) 1994; 13 Beltratti, Morana (b0025) 2006; 131 Giraitis, Kokoszka, Leipus, Teyssiere (b0120) 2003; 112 Hamilton (b0150) 1988; 12 Jensen, Nielsen (b0180) 2014; 35 Charfeddine, Guégan (b0060) 2012; 31 Haas, Paolella (b0135) 2012 Molnár (b0205) 2012; 23 Dahlhaus (b0085) 1989 Arouri, Hammoudeh, Lahiani, Nguyen (b0015) 2012; 52 Ho, Shi, Zhang (b0165) 2013; 26 Diebold, Inoue (b0095) 2001; 105 Boubaker, Sghaier (b0050) 2013; 37 Garman, Klass (b0115) 1980; 53 Chronopoulou, Viens (b0080) 2012; 8 Hamilton (10.1016/j.jbankfin.2015.08.025_b0150) 1988; 12 Hosking (10.1016/j.jbankfin.2015.08.025_b0170) 1981; 68 Diebold (10.1016/j.jbankfin.2015.08.025_b0095) 2001; 105 Choi (10.1016/j.jbankfin.2015.08.025_b0070) 2010; 29 Marcucci (10.1016/j.jbankfin.2015.08.025_b0195) 2005; 9 Klaassen (10.1016/j.jbankfin.2015.08.025_b0185) 2002; 27 Bollerslev (10.1016/j.jbankfin.2015.08.025_b0040) 1996; 75 Haldrup (10.1016/j.jbankfin.2015.08.025_b0145) 2006; 135 Giraitis (10.1016/j.jbankfin.2015.08.025_b0120) 2003; 112 Arouri (10.1016/j.jbankfin.2015.08.025_b0015) 2012; 52 Chortareas (10.1016/j.jbankfin.2015.08.025_b0075) 2011; 27 Bollerslev (10.1016/j.jbankfin.2015.08.025_b0035) 1987; 69 Haas (10.1016/j.jbankfin.2015.08.025_b0140) 2004; 2 Andersen (10.1016/j.jbankfin.2015.08.025_b0005) 2003; 71 Haas (10.1016/j.jbankfin.2015.08.025_b0130) 2009; 215 Lo (10.1016/j.jbankfin.2015.08.025_b0190) 1991; 59 Caporale (10.1016/j.jbankfin.2015.08.025_b0055) 2013; 29 Cho (10.1016/j.jbankfin.2015.08.025_b0065) 2007; 75 Ho (10.1016/j.jbankfin.2015.08.025_b0165) 2013; 26 Stentoft (10.1016/j.jbankfin.2015.08.025_b0240) 2005; 12 Susmel (10.1016/j.jbankfin.2015.08.025_b0245) 1994; 13 Hamilton (10.1016/j.jbankfin.2015.08.025_b0155) 1989; 57 Wang (10.1016/j.jbankfin.2015.08.025_b0250) 2012; 118 Beran (10.1016/j.jbankfin.2015.08.025_b0030) 1995 Raggi (10.1016/j.jbankfin.2015.08.025_b0220) 2012; 56 Charfeddine (10.1016/j.jbankfin.2015.08.025_b0060) 2012; 31 Engle (10.1016/j.jbankfin.2015.08.025_b0105) 2008; 21 Fleming (10.1016/j.jbankfin.2015.08.025_b0110) 2011; 35 Shi (10.1016/j.jbankfin.2015.08.025_b0225) 2015; 22 Stanley (10.1016/j.jbankfin.2015.08.025_b0235) 2008; 387 Baillie (10.1016/j.jbankfin.2015.08.025_b0020) 1996; 74 Boubaker (10.1016/j.jbankfin.2015.08.025_b0050) 2013; 37 Sowell (10.1016/j.jbankfin.2015.08.025_b0230) 1992; 53 Dahlhaus (10.1016/j.jbankfin.2015.08.025_b0085) 1989 Hamilton (10.1016/j.jbankfin.2015.08.025_b0160) 1994 Ardia (10.1016/j.jbankfin.2015.08.025_b0010) 2009; 12 Beltratti (10.1016/j.jbankfin.2015.08.025_b0025) 2006; 131 Chronopoulou (10.1016/j.jbankfin.2015.08.025_b0080) 2012; 8 Mikosch (10.1016/j.jbankfin.2015.08.025_b0200) 2004; 2 Podobnika (10.1016/j.jbankfin.2015.08.025_b0215) 2009; 106 Garman (10.1016/j.jbankfin.2015.08.025_b0115) 1980; 53 Yalama (10.1016/j.jbankfin.2015.08.025_b0255) 2013; 30 Hyung (10.1016/j.jbankfin.2015.08.025_b0175) 2008 Degiannakis (10.1016/j.jbankfin.2015.08.025_b0090) 2013; 27 Molnár (10.1016/j.jbankfin.2015.08.025_b0205) 2012; 23 Jensen (10.1016/j.jbankfin.2015.08.025_b0180) 2014; 35 Douc (10.1016/j.jbankfin.2015.08.025_b0100) 2004; 32 Bollerslev (10.1016/j.jbankfin.2015.08.025_b0045) 1999; 92 Haas (10.1016/j.jbankfin.2015.08.025_b0135) 2012 Perron (10.1016/j.jbankfin.2015.08.025_b0210) 2010; 28 Granger (10.1016/j.jbankfin.2015.08.025_b0125) 2004; 11 |
| References_xml | – volume: 52 start-page: 207 year: 2012 end-page: 218 ident: b0015 article-title: Long memory and structural breaks in modeling the return and volatility dynamics of precious metals publication-title: The Quarterly Review of Economics and Finance contributor: fullname: Nguyen – volume: 37 start-page: 361 year: 2013 end-page: 377 ident: b0050 article-title: Portfolio optimization in the presence of dependent financial returns with long memory: a copula based approach publication-title: Journal of Banking & Finance contributor: fullname: Sghaier – volume: 131 start-page: 151 year: 2006 end-page: 177 ident: b0025 article-title: Breaks and persistency: macroeconomic causes of stock market volatility publication-title: Journal of Econometrics contributor: fullname: Morana – volume: 75 start-page: 151 year: 1996 end-page: 184 ident: b0040 article-title: Modeling and pricing long memory in stock market volatility publication-title: Journal of Econometrics contributor: fullname: Mikkelsen – volume: 29 start-page: 1 year: 2013 end-page: 9 ident: b0055 article-title: Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate publication-title: International Review of Financial Analysis contributor: fullname: Gil-Alana – volume: 13 start-page: 3 year: 1994 end-page: 25 ident: b0245 article-title: Hourly volatility spillovers between international equity markets publication-title: Journal of International Money and Finance contributor: fullname: Engle – volume: 53 start-page: 67 year: 1980 end-page: 78 ident: b0115 article-title: On the estimation of security price volatilities from publication-title: The Journal of Business contributor: fullname: Klass – volume: 31 start-page: 5712 year: 2012 end-page: 5726 ident: b0060 article-title: Breaks or long memory behavior: an empirical investigation publication-title: Physica A contributor: fullname: Guégan – volume: 68 start-page: 165 year: 1981 end-page: 176 ident: b0170 article-title: Fractional differencing publication-title: Biometrica contributor: fullname: Hosking – volume: 2 start-page: 41 year: 2004 end-page: 73 ident: b0200 article-title: Changes of structure in financial time series and the GARCH model publication-title: REVSTAT contributor: fullname: Starica – volume: 11 start-page: 399 year: 2004 end-page: 421 ident: b0125 article-title: Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns publication-title: Journal of Empirical Finance contributor: fullname: Hyung – volume: 59 start-page: 1279 year: 1991 end-page: 1313 ident: b0190 article-title: Long-term memory in stock market prices publication-title: Econometrica contributor: fullname: Lo – volume: 26 start-page: 436 year: 2013 end-page: 456 ident: b0165 article-title: How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches publication-title: North American Journal of Economics and Finance contributor: fullname: Zhang – volume: 27 start-page: 21 year: 2013 end-page: 33 ident: b0090 article-title: Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: international evidence publication-title: International Review of Financial Analysis contributor: fullname: Dent – volume: 69 start-page: 542 year: 1987 end-page: 547 ident: b0035 article-title: A conditional heteroskedastic time series model for speculative prices and rates of return publication-title: Review of Economics and Statistics contributor: fullname: Bollerslev – start-page: 1749 year: 1989 end-page: 1766 ident: b0085 article-title: Efficient parameter estimation for self-similar processes publication-title: The Annals of Statistics contributor: fullname: Dahlhaus – volume: 112 start-page: 265 year: 2003 end-page: 294 ident: b0120 article-title: Rescaled variance and related tests for long memory in volatility and levels publication-title: Journal of Econometrics contributor: fullname: Teyssiere – volume: 27 start-page: 363 year: 2002 end-page: 394 ident: b0185 article-title: Improving GARCH volatility forecasts with regime-switching GARCH publication-title: Empirical Economics contributor: fullname: Klaassen – volume: 21 start-page: 1187 year: 2008 end-page: 1222 ident: b0105 article-title: The spline-GARCH model for low-frequency volatility and its global macroeconomic causes publication-title: Review of Financial Studies contributor: fullname: Rangel – volume: 9 year: 2005 ident: b0195 article-title: Forecasting stock market volatility with regime-switching GARCH models publication-title: Studies in Nonlinear Dynamics & Econometrics contributor: fullname: Marcucci – volume: 12 start-page: 385 year: 1988 end-page: 423 ident: b0150 article-title: Rational-expectations econometric analysis of changes in regime: an investigation of the term structure of interest rates publication-title: Journal of Economic Dynamics and Control contributor: fullname: Hamilton – volume: 57 start-page: 357 year: 1989 end-page: 384 ident: b0155 article-title: A new approach to the economic analysis of nonstationary time series and the business cycle publication-title: Econometrica contributor: fullname: Hamilton – volume: 12 start-page: 105 year: 2009 end-page: 126 ident: b0010 article-title: Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with student-t innovations publication-title: The Econometrics Journal contributor: fullname: Ardia – volume: 74 start-page: 3 year: 1996 end-page: 30 ident: b0020 article-title: Fractionally integrated generalized autoregressive conditional heteroskedasticity publication-title: Journal of Econometrics contributor: fullname: Mikkelsen – volume: 2 start-page: 493 year: 2004 end-page: 530 ident: b0140 article-title: A new approach to markov-switching GARCH models publication-title: Journal of Financial Econometrics contributor: fullname: Paolella – volume: 35 start-page: 1714 year: 2011 end-page: 1726 ident: b0110 article-title: Long memory in volatility and trading volume publication-title: Journal of Banking & Finance contributor: fullname: Kirby – volume: 105 start-page: 131 year: 2001 end-page: 159 ident: b0095 article-title: Long memory and regime switching publication-title: Journal of Econometrics contributor: fullname: Inoue – volume: 106 start-page: 22079 year: 2009 end-page: 22084 ident: b0215 article-title: Cross-correlations between volume change and price change publication-title: Proceedings of the National Academy of Sciences of the United States of America contributor: fullname: Stanleya – volume: 71 start-page: 579 year: 2003 end-page: 625 ident: b0005 article-title: Modeling and forecasting realized volatility publication-title: Econometrica contributor: fullname: Labys – start-page: 329 year: 2008 end-page: 380 ident: b0175 article-title: Chapter 9 a source of long memory in volatility publication-title: Forecasting in the Presence of Structural Breaks and Model Uncertainty contributor: fullname: Granger – volume: 56 start-page: 3730 year: 2012 end-page: 3742 ident: b0220 article-title: Long memory and nonlinearities in realized volatility: a markov switching approach publication-title: Computational Statistics & Data Analysis contributor: fullname: Bordignon – year: 1994 ident: b0160 article-title: Time series analysis contributor: fullname: Hamilton – volume: 118 start-page: 389 year: 2012 end-page: 392 ident: b0250 article-title: Recursive predictive tests for structural change of long memory ARFIMA processes with unknown break-points publication-title: Economics Letters contributor: fullname: Vasilakis – volume: 35 start-page: 428 year: 2014 end-page: 436 ident: b0180 article-title: A fast fractional difference algorithm publication-title: Journal of Time Series Analysis contributor: fullname: Nielsen – volume: 28 start-page: 275 year: 2010 end-page: 290 ident: b0210 article-title: Long-memory and level shifts in the volatility of stock market return indices publication-title: Journal of Business & Economic Statistics contributor: fullname: Qu – volume: 92 start-page: 75 year: 1999 end-page: 99 ident: b0045 article-title: Long-term equity anticipation securities and stock market volatility dynamics publication-title: Journal of Econometrics contributor: fullname: Mikkelsen – volume: 215 start-page: 2103 year: 2009 end-page: 2119 ident: b0130 article-title: Value-at-risk via mixture distributions reconsidered publication-title: Applied Mathematics and Computation contributor: fullname: Haas – volume: 53 start-page: 165 year: 1992 end-page: 188 ident: b0230 article-title: Maximum likelihood estimation of stationary univariate fractionally integrated time series models publication-title: Journal of Econometrics contributor: fullname: Sowell – start-page: 71 year: 2012 end-page: 102 ident: b0135 article-title: Mixture and regime-switching GARCH models publication-title: Handbook of Volatility Models and Their Applications contributor: fullname: Paolella – volume: 75 start-page: 1671 year: 2007 end-page: 1720 ident: b0065 article-title: Testing for regime switching publication-title: Econometrica contributor: fullname: White – volume: 29 start-page: 857 year: 2010 end-page: 875 ident: b0070 article-title: Long memory versus structural breaks in modeling and forecasting realized volatility publication-title: Journal of International Money and Finance contributor: fullname: Zivot – volume: 27 start-page: 1089 year: 2011 end-page: 1107 ident: b0075 article-title: Forecasting exchange rate volatility using high-frequency data: is the euro different? publication-title: International Journal of Forecasting contributor: fullname: Nankervis – volume: 8 start-page: 379 year: 2012 end-page: 403 ident: b0080 article-title: Estimation and pricing under long-memory stochastic volatility publication-title: Annals of Finance contributor: fullname: Viens – volume: 23 start-page: 20 year: 2012 end-page: 29 ident: b0205 article-title: Properties of range-based volatility estimators publication-title: International Review of Financial Analysis contributor: fullname: Molnár – volume: 387 start-page: 3967 year: 2008 end-page: 3981 ident: b0235 article-title: A statistical physics view of financial fluctuations: evidence for scaling and universality publication-title: Physica A contributor: fullname: Gabaix – start-page: 659 year: 1995 end-page: 672 ident: b0030 article-title: Maximum likelihood estimation of the differencing parameter for invertible short and long memory autoregressive integrated moving average models publication-title: Journal of the Royal Statistical Society. Series B (Methodological) contributor: fullname: Beran – volume: 22 start-page: 318 year: 2015 end-page: 323 ident: b0225 article-title: Can we distinguish regime switching from long memory? A simulation evidence publication-title: Applied Economics Letters contributor: fullname: Shi – volume: 12 start-page: 576 year: 2005 end-page: 611 ident: b0240 article-title: Pricing american options when the underlying asset follows GARCH processes publication-title: Journal of Empirical Finance contributor: fullname: Stentoft – volume: 135 start-page: 349 year: 2006 end-page: 376 ident: b0145 article-title: A regime switching long memory model for electricity prices publication-title: Journal of Econometrics contributor: fullname: Nielsen – volume: 30 start-page: 67 year: 2013 end-page: 72 ident: b0255 article-title: Real or spurious long memory characteristics of volatility: empirical evidence from an emerging market publication-title: Economic Modelling contributor: fullname: Celik – volume: 32 start-page: 2254 year: 2004 end-page: 2304 ident: b0100 article-title: Asymptotic properties of the maximum likelihood estimator in autoregressive models with markov regime publication-title: The Annals of Statistics contributor: fullname: Ryden – volume: 92 start-page: 75 issue: 1 year: 1999 ident: 10.1016/j.jbankfin.2015.08.025_b0045 article-title: Long-term equity anticipation securities and stock market volatility dynamics publication-title: Journal of Econometrics doi: 10.1016/S0304-4076(98)00086-4 contributor: fullname: Bollerslev – start-page: 329 year: 2008 ident: 10.1016/j.jbankfin.2015.08.025_b0175 article-title: Chapter 9 a source of long memory in volatility contributor: fullname: Hyung – volume: 2 start-page: 41 issue: 1 year: 2004 ident: 10.1016/j.jbankfin.2015.08.025_b0200 article-title: Changes of structure in financial time series and the GARCH model publication-title: REVSTAT contributor: fullname: Mikosch – volume: 106 start-page: 22079 issue: 52 year: 2009 ident: 10.1016/j.jbankfin.2015.08.025_b0215 article-title: Cross-correlations between volume change and price change publication-title: Proceedings of the National Academy of Sciences of the United States of America doi: 10.1073/pnas.0911983106 contributor: fullname: Podobnika – volume: 27 start-page: 363 issue: 2 year: 2002 ident: 10.1016/j.jbankfin.2015.08.025_b0185 article-title: Improving GARCH volatility forecasts with regime-switching GARCH publication-title: Empirical Economics doi: 10.1007/s001810100100 contributor: fullname: Klaassen – volume: 30 start-page: 67 year: 2013 ident: 10.1016/j.jbankfin.2015.08.025_b0255 article-title: Real or spurious long memory characteristics of volatility: empirical evidence from an emerging market publication-title: Economic Modelling doi: 10.1016/j.econmod.2012.08.030 contributor: fullname: Yalama – start-page: 659 year: 1995 ident: 10.1016/j.jbankfin.2015.08.025_b0030 article-title: Maximum likelihood estimation of the differencing parameter for invertible short and long memory autoregressive integrated moving average models publication-title: Journal of the Royal Statistical Society. Series B (Methodological) doi: 10.1111/j.2517-6161.1995.tb02054.x contributor: fullname: Beran – volume: 75 start-page: 151 issue: 1 year: 1996 ident: 10.1016/j.jbankfin.2015.08.025_b0040 article-title: Modeling and pricing long memory in stock market volatility publication-title: Journal of Econometrics doi: 10.1016/0304-4076(95)01736-4 contributor: fullname: Bollerslev – volume: 37 start-page: 361 issue: 2 year: 2013 ident: 10.1016/j.jbankfin.2015.08.025_b0050 article-title: Portfolio optimization in the presence of dependent financial returns with long memory: a copula based approach publication-title: Journal of Banking & Finance doi: 10.1016/j.jbankfin.2012.09.006 contributor: fullname: Boubaker – volume: 23 start-page: 20 year: 2012 ident: 10.1016/j.jbankfin.2015.08.025_b0205 article-title: Properties of range-based volatility estimators publication-title: International Review of Financial Analysis doi: 10.1016/j.irfa.2011.06.012 contributor: fullname: Molnár – volume: 52 start-page: 207 issue: 2 year: 2012 ident: 10.1016/j.jbankfin.2015.08.025_b0015 article-title: Long memory and structural breaks in modeling the return and volatility dynamics of precious metals publication-title: The Quarterly Review of Economics and Finance doi: 10.1016/j.qref.2012.04.004 contributor: fullname: Arouri – volume: 32 start-page: 2254 issue: 5 year: 2004 ident: 10.1016/j.jbankfin.2015.08.025_b0100 article-title: Asymptotic properties of the maximum likelihood estimator in autoregressive models with markov regime publication-title: The Annals of Statistics doi: 10.1214/009053604000000021 contributor: fullname: Douc – volume: 68 start-page: 165 issue: 1 year: 1981 ident: 10.1016/j.jbankfin.2015.08.025_b0170 article-title: Fractional differencing publication-title: Biometrica doi: 10.1093/biomet/68.1.165 contributor: fullname: Hosking – year: 1994 ident: 10.1016/j.jbankfin.2015.08.025_b0160 contributor: fullname: Hamilton – volume: 118 start-page: 389 year: 2012 ident: 10.1016/j.jbankfin.2015.08.025_b0250 article-title: Recursive predictive tests for structural change of long memory ARFIMA processes with unknown break-points publication-title: Economics Letters doi: 10.1016/j.econlet.2012.11.011 contributor: fullname: Wang – volume: 13 start-page: 3 issue: 1 year: 1994 ident: 10.1016/j.jbankfin.2015.08.025_b0245 article-title: Hourly volatility spillovers between international equity markets publication-title: Journal of International Money and Finance doi: 10.1016/0261-5606(94)90021-3 contributor: fullname: Susmel – volume: 215 start-page: 2103 issue: 6 year: 2009 ident: 10.1016/j.jbankfin.2015.08.025_b0130 article-title: Value-at-risk via mixture distributions reconsidered publication-title: Applied Mathematics and Computation doi: 10.1016/j.amc.2009.08.005 contributor: fullname: Haas – volume: 112 start-page: 265 issue: 2 year: 2003 ident: 10.1016/j.jbankfin.2015.08.025_b0120 article-title: Rescaled variance and related tests for long memory in volatility and levels publication-title: Journal of Econometrics doi: 10.1016/S0304-4076(02)00197-5 contributor: fullname: Giraitis – volume: 27 start-page: 1089 issue: 4 year: 2011 ident: 10.1016/j.jbankfin.2015.08.025_b0075 article-title: Forecasting exchange rate volatility using high-frequency data: is the euro different? publication-title: International Journal of Forecasting doi: 10.1016/j.ijforecast.2010.07.003 contributor: fullname: Chortareas – volume: 2 start-page: 493 issue: 4 year: 2004 ident: 10.1016/j.jbankfin.2015.08.025_b0140 article-title: A new approach to markov-switching GARCH models publication-title: Journal of Financial Econometrics doi: 10.1093/jjfinec/nbh020 contributor: fullname: Haas – volume: 57 start-page: 357 issue: 2 year: 1989 ident: 10.1016/j.jbankfin.2015.08.025_b0155 article-title: A new approach to the economic analysis of nonstationary time series and the business cycle publication-title: Econometrica doi: 10.2307/1912559 contributor: fullname: Hamilton – volume: 59 start-page: 1279 issue: 5 year: 1991 ident: 10.1016/j.jbankfin.2015.08.025_b0190 article-title: Long-term memory in stock market prices publication-title: Econometrica doi: 10.2307/2938368 contributor: fullname: Lo – volume: 29 start-page: 1 year: 2013 ident: 10.1016/j.jbankfin.2015.08.025_b0055 article-title: Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate publication-title: International Review of Financial Analysis doi: 10.1016/j.irfa.2013.03.011 contributor: fullname: Caporale – volume: 27 start-page: 21 year: 2013 ident: 10.1016/j.jbankfin.2015.08.025_b0090 article-title: Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: international evidence publication-title: International Review of Financial Analysis doi: 10.1016/j.irfa.2012.06.001 contributor: fullname: Degiannakis – volume: 135 start-page: 349 issue: 1 year: 2006 ident: 10.1016/j.jbankfin.2015.08.025_b0145 article-title: A regime switching long memory model for electricity prices publication-title: Journal of Econometrics doi: 10.1016/j.jeconom.2005.07.021 contributor: fullname: Haldrup – volume: 8 start-page: 379 issue: 2–3 year: 2012 ident: 10.1016/j.jbankfin.2015.08.025_b0080 article-title: Estimation and pricing under long-memory stochastic volatility publication-title: Annals of Finance doi: 10.1007/s10436-010-0156-4 contributor: fullname: Chronopoulou – volume: 12 start-page: 105 issue: 1 year: 2009 ident: 10.1016/j.jbankfin.2015.08.025_b0010 article-title: Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with student-t innovations publication-title: The Econometrics Journal doi: 10.1111/j.1368-423X.2008.00253.x contributor: fullname: Ardia – volume: 69 start-page: 542 issue: 3 year: 1987 ident: 10.1016/j.jbankfin.2015.08.025_b0035 article-title: A conditional heteroskedastic time series model for speculative prices and rates of return publication-title: Review of Economics and Statistics doi: 10.2307/1925546 contributor: fullname: Bollerslev – start-page: 71 year: 2012 ident: 10.1016/j.jbankfin.2015.08.025_b0135 article-title: Mixture and regime-switching GARCH models contributor: fullname: Haas – volume: 22 start-page: 318 issue: 4 year: 2015 ident: 10.1016/j.jbankfin.2015.08.025_b0225 article-title: Can we distinguish regime switching from long memory? A simulation evidence publication-title: Applied Economics Letters doi: 10.1080/13504851.2014.941526 contributor: fullname: Shi – volume: 75 start-page: 1671 issue: 6 year: 2007 ident: 10.1016/j.jbankfin.2015.08.025_b0065 article-title: Testing for regime switching publication-title: Econometrica doi: 10.1111/j.1468-0262.2007.00809.x contributor: fullname: Cho – volume: 31 start-page: 5712 issue: 22 year: 2012 ident: 10.1016/j.jbankfin.2015.08.025_b0060 article-title: Breaks or long memory behavior: an empirical investigation publication-title: Physica A doi: 10.1016/j.physa.2012.06.036 contributor: fullname: Charfeddine – volume: 12 start-page: 385 issue: 2–3 year: 1988 ident: 10.1016/j.jbankfin.2015.08.025_b0150 article-title: Rational-expectations econometric analysis of changes in regime: an investigation of the term structure of interest rates publication-title: Journal of Economic Dynamics and Control doi: 10.1016/0165-1889(88)90047-4 contributor: fullname: Hamilton – volume: 56 start-page: 3730 issue: 11 year: 2012 ident: 10.1016/j.jbankfin.2015.08.025_b0220 article-title: Long memory and nonlinearities in realized volatility: a markov switching approach publication-title: Computational Statistics & Data Analysis doi: 10.1016/j.csda.2010.12.008 contributor: fullname: Raggi – volume: 74 start-page: 3 issue: 1 year: 1996 ident: 10.1016/j.jbankfin.2015.08.025_b0020 article-title: Fractionally integrated generalized autoregressive conditional heteroskedasticity publication-title: Journal of Econometrics doi: 10.1016/S0304-4076(95)01749-6 contributor: fullname: Baillie – volume: 53 start-page: 67 issue: 1 year: 1980 ident: 10.1016/j.jbankfin.2015.08.025_b0115 article-title: On the estimation of security price volatilities from publication-title: The Journal of Business doi: 10.1086/296072 contributor: fullname: Garman – volume: 131 start-page: 151 issue: 1–2 year: 2006 ident: 10.1016/j.jbankfin.2015.08.025_b0025 article-title: Breaks and persistency: macroeconomic causes of stock market volatility publication-title: Journal of Econometrics doi: 10.1016/j.jeconom.2005.01.007 contributor: fullname: Beltratti – volume: 26 start-page: 436 year: 2013 ident: 10.1016/j.jbankfin.2015.08.025_b0165 article-title: How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches publication-title: North American Journal of Economics and Finance doi: 10.1016/j.najef.2013.02.015 contributor: fullname: Ho – volume: 9 issue: 4 year: 2005 ident: 10.1016/j.jbankfin.2015.08.025_b0195 article-title: Forecasting stock market volatility with regime-switching GARCH models publication-title: Studies in Nonlinear Dynamics & Econometrics doi: 10.2202/1558-3708.1145 contributor: fullname: Marcucci – volume: 53 start-page: 165 issue: 1 year: 1992 ident: 10.1016/j.jbankfin.2015.08.025_b0230 article-title: Maximum likelihood estimation of stationary univariate fractionally integrated time series models publication-title: Journal of Econometrics doi: 10.1016/0304-4076(92)90084-5 contributor: fullname: Sowell – volume: 28 start-page: 275 issue: 2 year: 2010 ident: 10.1016/j.jbankfin.2015.08.025_b0210 article-title: Long-memory and level shifts in the volatility of stock market return indices publication-title: Journal of Business & Economic Statistics doi: 10.1198/jbes.2009.06171 contributor: fullname: Perron – volume: 71 start-page: 579 issue: 2 year: 2003 ident: 10.1016/j.jbankfin.2015.08.025_b0005 article-title: Modeling and forecasting realized volatility publication-title: Econometrica doi: 10.1111/1468-0262.00418 contributor: fullname: Andersen – volume: 21 start-page: 1187 issue: 3 year: 2008 ident: 10.1016/j.jbankfin.2015.08.025_b0105 article-title: The spline-GARCH model for low-frequency volatility and its global macroeconomic causes publication-title: Review of Financial Studies doi: 10.1093/rfs/hhn004 contributor: fullname: Engle – volume: 387 start-page: 3967 issue: 15 year: 2008 ident: 10.1016/j.jbankfin.2015.08.025_b0235 article-title: A statistical physics view of financial fluctuations: evidence for scaling and universality publication-title: Physica A doi: 10.1016/j.physa.2008.01.093 contributor: fullname: Stanley – volume: 35 start-page: 428 issue: 5 year: 2014 ident: 10.1016/j.jbankfin.2015.08.025_b0180 article-title: A fast fractional difference algorithm publication-title: Journal of Time Series Analysis doi: 10.1111/jtsa.12074 contributor: fullname: Jensen – volume: 35 start-page: 1714 issue: 7 year: 2011 ident: 10.1016/j.jbankfin.2015.08.025_b0110 article-title: Long memory in volatility and trading volume publication-title: Journal of Banking & Finance doi: 10.1016/j.jbankfin.2010.11.007 contributor: fullname: Fleming – volume: 11 start-page: 399 issue: 3 year: 2004 ident: 10.1016/j.jbankfin.2015.08.025_b0125 article-title: Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns publication-title: Journal of Empirical Finance doi: 10.1016/j.jempfin.2003.03.001 contributor: fullname: Granger – volume: 29 start-page: 857 issue: 5 year: 2010 ident: 10.1016/j.jbankfin.2015.08.025_b0070 article-title: Long memory versus structural breaks in modeling and forecasting realized volatility publication-title: Journal of International Money and Finance doi: 10.1016/j.jimonfin.2009.12.001 contributor: fullname: Choi – volume: 105 start-page: 131 issue: 1 year: 2001 ident: 10.1016/j.jbankfin.2015.08.025_b0095 article-title: Long memory and regime switching publication-title: Journal of Econometrics doi: 10.1016/S0304-4076(01)00073-2 contributor: fullname: Diebold – start-page: 1749 year: 1989 ident: 10.1016/j.jbankfin.2015.08.025_b0085 article-title: Efficient parameter estimation for self-similar processes publication-title: The Annals of Statistics doi: 10.1214/aos/1176347393 contributor: fullname: Dahlhaus – volume: 12 start-page: 576 issue: 4 year: 2005 ident: 10.1016/j.jbankfin.2015.08.025_b0240 article-title: Pricing american options when the underlying asset follows GARCH processes publication-title: Journal of Empirical Finance doi: 10.1016/j.jempfin.2004.08.001 contributor: fullname: Stentoft |
| SSID | ssj0000813 |
| Score | 2.408874 |
| Snippet | Recent research argues that if the cause of confusion between long memory and regime switching were properly controlled for, they could be effectively... |
| SourceID | proquest crossref elsevier |
| SourceType | Aggregation Database Publisher |
| StartPage | S189 |
| SubjectTerms | ARFIMA Effectiveness studies Indexes Long memory Markov analysis Markov Regime-Switching ARFIMA Mathematical models Monte Carlo simulation Regime switching Regression analysis Volatility |
| Title | Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model |
| URI | https://dx.doi.org/10.1016/j.jbankfin.2015.08.025 https://www.proquest.com/docview/1754112256 |
| Volume | 61 |
| hasFullText | 1 |
| inHoldings | 1 |
| isFullTextHit | |
| isPrint | |
| link | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwpV1LS8NAEB5qC-JFfOKbPXiNzSa7SeotiKU-6sEH9LZmN7uSSlOxVfHib3c23fhC8OAtCUwIszPzfYGZ-QD2uY5zrSQGL6Kth0GhPBmo0PN9wyVTUaCVHXDuX0S9G3Y64IMGHNWzMLat0tX-WU2vqrV70nbebD8URfvKD-OkwhderUFP5qCFcBQkTWilJ2e9i8-CnDiVZPxhsgZfBoWHB0OZlfemsKtQKa-2eVrV7N8x6ke1riCouwSLjjuSdPZ5y9DQ5QrM163rq3B7Pi7vyMj2zr6SrMyJVV0YaTJ5KaZVy-QhScmkGDnFLlKtliV4gSSQ2KGd8bMz8T5MSHrZPemnpFLMWYOb7vH1Uc9zCgqeYrE_9aSfKYWQLpEWSJ0FvpTUJCayW-oSzG7GZdThsTEhNVznYUaZ7sR2psnPMPGzcB2a5bjUG0B8ZmiueZhpRRnNWWIMjXJjkFHkNFRqE9q1z8TDbFGGqDvIhqL2srBeFlb4MuCb0KldK74ducBq_qftTn0WwiXdRCATYkgfkcRt_ePV27Bg72YtKzvQnD4-6V0kHlO5B3MHb3TPhdc7FM3YMQ |
| link.rule.ids | 315,783,787,4509,24128,27936,27937,45597,45691 |
| linkProvider | Elsevier |
| linkToHtml | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwpV1LS8NAEF60BfUiPrFadQ9eY7PNbpJ6C8XS2sdBW-htzW52JZWmxVbFf-9suvGF4MFbSJgQZufxBWa-D6ELpoJESQHBC93WgaCQjqhLz3FdzQSVfl1Js-DcH_jtEb0Zs_Eaaha7MGas0tb-VU3Pq7W9U7PerM3TtHbnekGY9xeW06CH66gMaKAB2VmOOt324LMgh1YlGX6YjMGXReHJ5UTE2aNODRUqYTmbp1HN_r1H_ajWeQtq7aBtix1xtPq8XbSmsj20UYyu76P73ix7wFMzO_uG4yzBRnVhqvDiNV3mI5NXOMKLdGoVu3BOLYvhAkAgNks7sxdr4nyY4Oi21elHOFfMOUCj1vWw2XasgoIjaeAuHeHGUkJLFwALhIrrrhBEh9o3LHUhZDdlwm-wQGuPaKYSLyZUNQKz0-TGkPixd4hK2SxTRwi7VJNEMS9WklCS0FBr4idaA6JIiCdlBdUKn_H5iiiDFxNkE154mRsvcyN8WWcV1Chcy78dOYdq_qdttTgLbpNuwQEJUYCPAOKO__Hqc7TZHvZ7vNcZdE_QlnmyGl-potLy6VmdAghZijMbZO9Szdol |
| openUrl | ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=Long+memory+and+regime+switching%3A+A+simulation+study+on+the+Markov+regime-switching+ARFIMA+model&rft.jtitle=Journal+of+banking+%26+finance&rft.au=Shi%2C+Yanlin&rft.au=Ho%2C+Kin-Yip&rft.date=2015-12-01&rft.pub=Elsevier+Sequoia+S.A&rft.issn=0378-4266&rft.eissn=1872-6372&rft.volume=61&rft.spage=S189&rft_id=info:doi/10.1016%2Fj.jbankfin.2015.08.025&rft.externalDBID=NO_FULL_TEXT&rft.externalDocID=3913535991 |
| thumbnail_l | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/lc.gif&issn=0378-4266&client=summon |
| thumbnail_m | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/mc.gif&issn=0378-4266&client=summon |
| thumbnail_s | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/sc.gif&issn=0378-4266&client=summon |