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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 fractionally integrated exponential STAR model applied to the US real effective exchange rate
Boutahar, Mohamed; Mootamri, Imène; Péguin-Feissolle, Anne - In: Economic modelling 26 (2009) 2, pp. 335-341
Persistent link: https://www.econbiz.de/10003839711
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Long-memory dynamics in a SETAR model : applications to stock markets
Dufrénot, Gilles; Guégan, Dominique; … - In: Journal of international financial markets, … 15 (2005) 5, pp. 391-406
Persistent link: https://www.econbiz.de/10003270564
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Changing-regime volatility : a fractionally integrated SETAR model
Dufrénot, Gilles; Guégan, Dominique; … - In: Applied financial economics 18 (2008) 7/9, pp. 519-526
Persistent link: https://www.econbiz.de/10003739214
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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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Modelling squared returns using a SETAR model with long-memory dynamics
Dufrénot, Gilles; Guégan, Dominique; … - In: Economics letters 86 (2005) 2, pp. 237-243
Persistent link: https://www.econbiz.de/10002584436