Boubaker, Heni; Sghaier, Nadia - Institut de Préparation à l'Administration et à la … - 2014
This paper proposes a new class of semiparametric generalized long memory model with FIA- PARCH errors (SEMIGARMA-FIAPARCH model) that extends the conventionnel GARMA model to incorporate nonlinear deterministic trend, in the mean equation, and to allow for time varying volatility, in the...
