In France over the last fifteen years two important reforms in the basic pension systems (1993 and 2003) were made and numerous measures concerning the legal supplementary benefits systems were put into effect. Contrary to other countries, the role of the pay-as-you-go system as the main pension...

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...