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A SETAR model with long-memory dynamics

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Author Info
Gilles DUFRENOT (ERUDITE Univ. Paris 12 & GREQAM Marseille)
Dominique GUEGAN (MORA IDHE CNRS Ecole Normale Superieure)
Anne PEGUIN-FEISSOLLE (GREQAM-CNRS Marseille)

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Abstract

This paper presents a 2-regime SETAR model where the process under examination is governed by a long-memory process in the first regime and a short-memory process in the second regime. Persistence properties are studied and methods for locating the threshold parameter are proposed. Such a process presents a useful application to financial data and is applied to stock indices and individual assets.

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Paper provided by EconWPA in its series Econometrics with number 0309002.

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Date of creation: 04 Sep 2003
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Handle: RePEc:wpa:wuwpem:0309002

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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  1. Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany. [Downloadable!]
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