A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt - Document de travail n°2008 - 10Reportar como inadecuado




A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt - Document de travail n°2008 - 10 - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

* Corresponding author 1 GREQAM - Groupement de Recherche en Économie Quantitative d-Aix-Marseille

Abstract : 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.

Keywords : Long-memory Logistic function STAR





Autor: Mohamed Boutahar - Gilles Dufrénot - Anne Peguin-Feissolle -

Fuente: https://hal.archives-ouvertes.fr/



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