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A simple fractionally integrated model with a time-varying long memory parameter d t
Boutahar, Mohamed; Dufrénot, Gilles; … - In: Computational economics 31 (2008) 3, pp. 225-241
Persistent link: https://www.econbiz.de/10003691880
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SEMIFARMA-HYGARCH modeling of Dow Jones return persistence
Chikhi, Mohamed; Péguin-Feissolle, Anne; Terraza, Michel - In: Computational economics 41 (2013) 2, pp. 249-265
Persistent link: https://www.econbiz.de/10009710572
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Estimating the long-memory parameter in nonstationary processes using wavelets
Boubaker, Heni; Péguin-Feissolle, Anne - In: Computational economics 42 (2013) 3, pp. 291-306
Persistent link: https://www.econbiz.de/10010189026
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A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t
Boutahar, Mohamed; Dufrénot, Gilles; … - In: Computational economics 31 (2008) 3, pp. 225-242
Persistent link: https://www.econbiz.de/10007988799
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Optimal estimation strategies for bivariate fractional cointegration systems and the co-persistence analysis of stock market realized volatilities
Aloy, Marcel; Truchis, Gilles de - In: Computational economics 48 (2016) 1, pp. 83-104
Persistent link: https://www.econbiz.de/10011646595
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Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets
Boubaker, Heni; Péguin-Feissolle, Anne - In: Computational economics 42 (2013) 3, pp. 291-306
Persistent link: https://www.econbiz.de/10010175547
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SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
Chikhi, Mohamed; Péguin-Feissolle, Anne; Terraza, Michel - In: Computational economics 41 (2013) 2, pp. 249-265
Persistent link: https://www.econbiz.de/10010069064