Modeling Long Memory and Regime Switching with an MRS-FIEGARCH Model: A Simulation Study
Recent research suggests that long memory can be caused by regime switching and is easily confused with it. However, if the causes of confusion were properly controlled, they could be distinguished. Motivated by this idea, our study aims to distinguish between the long memory and regime switching of...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-04-01
|
| Series: | Axioms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2075-1680/12/5/446 |