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 InfoPaper provided by HAL in its series Post-Print with number halshs-00179285.
Date of creation: 2005
Date of revision:
Publication status: Published, Economic Letters, 2005, 86, 237-243
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SETAR - Long-memory - FARIMA models - Stock indices;
Other versions of this item:
- Dufrenot, Gilles & Guegan, Dominique & Peguin-Feissolle, Anne, 2005. "Modelling squared returns using a SETAR model with long-memory dynamics," Economics Letters, Elsevier, vol. 86(2), pages 237-243, February.
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