A simple fractionally integrated model with a time-varying long memory parameter dt

Mohamed Boutahar, Gilles Dufrénot () and Anne Peguin-Feissolle ()
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Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper generalizes the standard long memory modeling by assuming that the long memory parameter d is stochastic and time-varying: we introduce a STAR process on this parameter characterized by a logistic function. We propose an estimation method of this model. Some simulation experiments are conducted. The empirical results suggest that this new model offers an interesting alternative competing framework to describe the persistent dynamics in modeling some financial series.

Keywords: Algorithms; Design; Performance; Logistic function; Long-memory; STAR (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (12)

Published in Computational Economics, 2008, 31 (Issue 3 (April 2008)), pp.225 - 241. ⟨10.1007/s10614-007-9115-1⟩

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Journal Article: A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00390136

DOI: 10.1007/s10614-007-9115-1

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