-coefficient parametric models, such as AR or GARCH, whose coefficients may arbitrarily vary with time. Global parametric, smooth transition … the particular case of GARCH estimation, the proposed method is applied to stock-index series and is shown to outperform … the standard parametric GARCH model. -- adaptive pointwise estimation ; autoregressive models ; conditional …

time diffusion models ; models with jumps ; stochastic volatility ; GARCH …

, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …