A SETAR model with long-memory dynamics

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.

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Year of publication:	2003-09-04
Authors:	DUFRENOT, Gilles ; GUEGAN, Dominique ; PEGUIN-FEISSOLLE, Anne
Institutions:	EconWPA

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Extent:	application/pdf
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	pdf file
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005119075