This paper deals with statistics�and econometrics�properties of fractionally integra- ted GARCH (FIGARCH). We compare these characteristics with those of traditional models. We insist on the GARCH exponential/IGARCH in�nite decrease of volatility impact. Then, we apply it on three Tunisian...

This paper implements a simulation-based method for estimating the parameters of Threshold Integrated Moving Average Models with contemporaneous asymmetry. Among many simulation-based methods we use the Indirect Inference method (II) with an autoregressive model as auxiliary model. To...