Title of article
Modelling squared returns using a SETAR model with long-memory dynamics
Author/Authors
Gilles Dufrénot، نويسنده , , Dominique Guegan، نويسنده , , Anne Péguin-Feissolle، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
7
From page
237
To page
243
Abstract
This paper presents a two-regime SETAR model for the volatility with a long-memory process in the first regime and a short-memory process in the second regime. Persistence properties are studied and estimation methods are proposed. Such a process is applied to stock indices and individual asset prices.
Keywords
SETAR , Long-memory , FARIMA models , Stock indices
Journal title
Economics Letters
Serial Year
2005
Journal title
Economics Letters
Record number
435597
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