A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt - [Document de travail n°2008 - 10]
This 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.
|Date of creation:||09 May 2008|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00275254v2|
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