Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter
AbstractIn this paper, we propose a time-varying long memory model where the fractional integration parameter varies nonlinearly according to Smooth Transition Regressive (STR) model. To estimate the fractional integration parameter, we suggest a new estimation method based on wavelet approach. In particular, we consider the instan- taneous least squares estimator (ILSE). We conduct some simulation experiments and provide an empirical application to modeling the dynamics of volatilities of some fi- nancial time series. The obtained results show that the model proposed offers an interesting framework to describe time-varying long range dependence of volatilities and provide evidence of regime change in persistence to shocks.
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-284.
Date of creation: 29 Apr 2014
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-04 (All new papers)
- NEP-ECM-2014-05-04 (Econometrics)
- NEP-ETS-2014-05-04 (Econometric Time Series)
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