Markov regime switching in mean and in fractional integration parameter

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dc.authorwosidYazgan, Ege/GPG-1135-2022
dc.contributor.authorOzkan, Harun
dc.contributor.authorStengos, Thanasis
dc.contributor.authorYazgan, Ege
dc.date.accessioned2024-07-18T20:55:12Z
dc.date.available2024-07-18T20:55:12Z
dc.date.issued2017
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractWe propose a specific general Markov-regime switching estimation both in the long memory parameter d and the mean of a time series. We employ Viterbi algorithm that combines the Viterbi procedures in two state Markov-switching parameter estimation. It is well-known that existence of mean break and long memory in time series can be easily confused with each other in most cases. Thus, we aim at observing the deviation and interaction of mean and d estimates for different cases. A Monte Carlo experiment reveals that the finite sample performance of the proposed algorithm for a simple mixture model of Markov-switching mean and d changes with respect to the fractional integrating parameters and the mean values for the two regimes.en_US
dc.description.sponsorshipNSERC of Canadaen_US
dc.description.sponsorshipThanasis Stengos wants to acknowledge financial assistance from NSERC of Canada.en_US
dc.identifier.doi10.1080/03610918.2016.1222421
dc.identifier.endpage6981en_US
dc.identifier.issn0361-0918
dc.identifier.issn1532-4141
dc.identifier.issue9en_US
dc.identifier.scopus2-s2.0-85017519488en_US
dc.identifier.scopusqualityQ3en_US
dc.identifier.startpage6974en_US
dc.identifier.urihttps://doi.org/10.1080/03610918.2016.1222421
dc.identifier.urihttps://hdl.handle.net/11411/8772
dc.identifier.volume46en_US
dc.identifier.wosWOS:000418384300019en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherTaylor & Francis Incen_US
dc.relation.ispartofCommunications in Statistics-Simulation and Computationen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectFractional İntegrationen_US
dc.subjectLong Memory Time Seriesen_US
dc.subjectMarkov Regime Switchingen_US
dc.subjectLong-Range Dependenceen_US
dc.subjectStock-Marketen_US
dc.subjectInterest-Ratesen_US
dc.subjectTime-Seriesen_US
dc.subjectMemoryen_US
dc.subjectVolatilityen_US
dc.subjectVolumeen_US
dc.titleMarkov regime switching in mean and in fractional integration parameteren_US
dc.typeArticleen_US

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