Modelling squared returns using a SETAR model with long-memory dynamics
AbstractThis paper presents a 2-regime SETAR model for the volatility with a long-memory process in the first regime and a short-memory process in the second regime. Persistence properties are studied and estimation methods are proposed. Such a process is applied to stock indices and individual asset prices.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 86 (2005)
Issue (Month): 2 (February)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Gilles Dufrénot & Dominique Guegan & Anne Peguin-Feissolle, 2005. "Modelling squared returns using a SETAR model with long-memory dynamics," Post-Print halshs-00179285, HAL.
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