Long-memory dynamics in a SETAR model - Applications to stock markets

This paper presents a 2-regime SETAR model with a long-memory process in the first regime and a short-memory process in the second regime. We briefly introduce the properties of this model and methods for locating the threshold parameter are proposed. Such a process is applied to stock indices and individual asset prices. A comparison with simple FARIMA models is made using some forecastibility criteria.

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Year of publication:	2005
Authors:	Dufrénot, Gilles ; Guegan, Dominique ; Peguin-Feissolle, Anne
Institutions:	HAL
Subject:	SETAR \| Long-memory \| Stock indices \| Forecasting

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Language:	German
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00179339/en/ Published, International Financial Markets, Inst. And Money, 2005, 15, 391 - 406
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008790799