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A smooth transition long-memory model
Aloy, Marcel; Dufrénot, Gilles; Lai-Tong, Charles; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 3, pp. 281-296
Persistent link: https://www.econbiz.de/10009740335
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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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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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Tests of the constancy of conditional correlations of unknown functional form in multivariate GARCH models
Péguin-Feissolle, Anne; Sanhaji, Bilel - In: Annals of economics and statistics 123/124 (2016), pp. 77-101
Persistent link: https://www.econbiz.de/10011592735
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Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas; Flachaire, Emmanuel; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-17
Persistent link: https://www.econbiz.de/10011965362