A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt
AbstractThis paper generalizes the standard long memory modeling by assuming that the long memory parameter d is stochastic and time varying: we introduce a STAR process on this parameter characterized by a logistic function. We propose an estimation method of this model. Some simulation experiments are conducted. The empirical results suggest that this new model offers an interesting alternative competing framework to describe the persistent dynamics in modelling some financial series.
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Date of creation: 23 Apr 2008
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Long-memory; Logistic function; STAR;
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- Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012.
"A Smooth Transition Long-Memory Model,"
AMSE Working Papers
1240, Aix-Marseille School of Economics, Marseille, France, revised Dec 2012.
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