Title:

Can Markov Switching Model Generate Long Memory?

Authors:

Changryong Baek (Sungkyunkwan University)
Natércia Fortuna (CEF, U Porto)
Vladas Pipiras (U North Carolina)

Journal:

Economics Letters

Year:

2014

Volume:

124

Pages:

117-121

JEL code:

C24 - Truncated and Censored Models