Modelling squared returns using a SETAR model with long-memory dynamics
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- Gilles Dufrénot & Dominique Guegan & Anne Peguin-Feissolle, 2005. "Modelling squared returns using a SETAR model with long-memory dynamics," Post-Print halshs-00179285, HAL.
References listed on IDEAS
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- Laurent Ferrara & Dominique Guégan, 2006.
"Detection of the Industrial Business Cycle using SETAR Models,"
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OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2005(3), pages 353-371.
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- Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany.
- Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008.
"A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t,"
Springer;Society for Computational Economics, vol. 31(3), pages 225-241, April.
- Mohamed Boutahar & Gilles Dufrénot & Anne Peguin-Feissolle, 2008. "A simple fractionally integrated model with a time-varying long memory parameter dt," Post-Print halshs-00390136, HAL.
- Gil-Alana, Luis A. & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2014.
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- Luis Alberiko Gil-Alaña & Olanrewaju L. Shittu & OlaOluwa S. Yaya, 2013. "On the persistence and volatility in European, American and Asian stocks bull and bear markets," NCID Working Papers 12/2013, Navarra Center for International Development, University of Navarra.
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- Dufrenot, Gilles & Guegan, Dominique & Peguin-Feissolle, Anne, 2005.
"Long-memory dynamics in a SETAR model - applications to stock markets,"
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- Gilles Dufrénot & Dominique Guegan & Anne Peguin-Feissolle, 2005. "Long-memory dynamics in a SETAR model - Applications to stock markets," Post-Print halshs-00179339, HAL.
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- Aloy Marcel & Tong Charles Lai & Peguin-Feissolle Anne & Dufrénot Gilles, 2013.
"A smooth transition long-memory model,"
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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.
- Marcel Aloy & Gilles Dufrénot & Charles Lai-Tong & Anne Peguin-Feissolle, 2013. "A smooth transition long-memory model," Post-Print hal-01498270, HAL.
- Marcel Aloy & Gilles Dufrenot & Charles Lai Tong & Anne Peguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," Working Papers halshs-00793680, HAL.
- Boubaker Heni & Canarella Giorgio & Miller Stephen M. & Gupta Rangan, 2017.
"Time-varying persistence of inflation: evidence from a wavelet-based approach,"
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- Heni Boubaker & Nadia Sghaier, 2014. "Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter," Working Papers 2014-284, Department of Research, Ipag Business School.
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