Long-memory dynamics in a SETAR model - Applications to stock markets

Abstract : This paper presents a 2-regime SETAR model with a long-memory process in the first regime and a short-memory process in the second regime. We briefly introduce the properties of this model and methods for locating the threshold parameter are proposed. Such a process is applied to stock indices and individual asset prices. A comparison with simple FARIMA models is made using some forecastibility criteria.
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https://halshs.archives-ouvertes.fr/halshs-00179339
Contributeur : Dominique Guégan <>
Soumis le : lundi 15 octobre 2007 - 12:36:18
Dernière modification le : lundi 4 mars 2019 - 14:04:14
Document(s) archivé(s) le : dimanche 11 avril 2010 - 23:01:30

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  • HAL Id : halshs-00179339, version 1

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Gilles Dufrénot, Dominique Guegan, Anne Peguin-Feissolle. Long-memory dynamics in a SETAR model - Applications to stock markets. International Financial Markets, Inst. And Money, 2005, 15, pp.391 - 406. ⟨halshs-00179339⟩

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