Comportement de la fonction d'autoccorrélation des modèles à changement de régime : Une Approche Empirique

Abstract

It is proved in several works as well in finance that in economics (see, for example Timmermann 2000) that in theory the regime switching models, under stationarity hypothesis, are short memory. However, the empirical autocorrelation function (ACF) of these models decreases slowly towards zero, resembling so to that of long memory processes. In this paper we are interested to the study of the empirical behavior of the ACF of processes in order to distinguish the long memory behavior to the regime switching by using Monte Carlo simulations. Two methods are used: the one based on tests and the other on estimators of the long memory parameter. Finally, an application on real data is proposed.(Paper in French)