A SETAR model with long-memory dynamics

Gilles Dufrénot (), Dominique madeleine GUEGAN and Anne PEGUIN-FEISSOLLE ()

Econometrics from EconWPA

Abstract: This paper presents a 2-regime SETAR model where the process under examination is governed by a long-memory process in the first regime and a short-memory process in the second regime. Persistence properties are studied and methods for locating the threshold parameter are proposed. Such a process presents a useful application to financial data and is applied to stock indices and individual assets.

JEL-codes: C32 C51 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin, nep-mac and nep-rmg
Date: 2003-09-04
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0309002

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