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Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte

Catherine Bruneau and Amine Lahiani

No 2006-17, EconomiX Working Papers from University of Paris Nanterre, EconomiX

Abstract: This paper implements a simulation-based method for estimating the parameters of Threshold Integrated Moving Average Models with contemporaneous asymmetry. Among many simulation-based methods we use the Indirect Inference method (II) with an autoregressive model as auxiliary model. To investigate the properties of the estimator in finite samples we refer to Monte Carlo methods. We apply our framework to the daily CAC40 index returns series and we find that this series exhibits an asymmetric response to shocks around a threshold.

New Economics Papers: this item is included in nep-ecm
Date: 2006
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