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A SETAR model with long-memory dynamics

Author

Listed:
  • Gilles DUFRENOT

    (ERUDITE Univ. Paris 12 & GREQAM Marseille)

  • Dominique GUEGAN

    (MORA IDHE CNRS Ecole Normale Superieure)

  • Anne PEGUIN-FEISSOLLE

    (GREQAM-CNRS Marseille)

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.

Suggested Citation

  • Gilles DUFRENOT & Dominique GUEGAN & Anne PEGUIN-FEISSOLLE, 2003. "A SETAR model with long-memory dynamics," Econometrics 0309002, EconWPA.
  • Handle: RePEc:wpa:wuwpem:0309002
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    Citations

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    Cited by:

    1. Laurent Ferrara & Dominique Guégan, 2006. "Detection of the Industrial Business Cycle using SETAR Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2005(3), pages 353-371.
    2. repec:hal:journl:halshs-00185369 is not listed on IDEAS
    3. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    4. repec:hal:journl:halshs-00185373 is not listed on IDEAS
    5. repec:bpj:jtsmet:v:10:y:2018:i:1:p:20:n:1 is not listed on IDEAS
    6. 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.

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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