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Modelling squared returns using a SETAR model with long-memory dynamics
Dufrenot, Gilles; Guegan, Dominique; Peguin-Feissolle, Anne - In: Economics letters 86 (2005) 2, pp. 237-244
Persistent link: https://www.econbiz.de/10006748986
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A comparison of the power of some tests for conditional heteroscedasticity
Peguin-Feissolle, Anne - In: Economics letters 63 (1999) 1, pp. 5-18
Persistent link: https://www.econbiz.de/10006785924
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A smooth transition long-memory model
Aloy, Marcel; Dufrénot, Gilles; Tong, Charles Lai; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 3, pp. 281-296
Persistent link: https://www.econbiz.de/10010118272
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A Test for Conditional Heteroskedasticity Based on Artificial Neural Networks
Caulet, Renaud; Peguin-Feissolle, Anne - In: Annales d'économie et de statistique (2000) 59, pp. 177-198
Persistent link: https://www.econbiz.de/10007920206