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Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter

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  • Heni Boubaker
  • Nadia Sghaier

Abstract

In 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

Suggested Citation

  • 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.
    • Handle: RePEc:ipg:wpaper:2014-284
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