Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter

Heni Boubaker () and Nadia Sghaier ()

No 2014-284, Working Papers from Department of Research, Ipag Business School

Abstract: In this paper, we propose a time-varying long memory model where the fractional integration parameter varies nonlinearly according to Smooth Transition Regressive (STR) model. To estimate the fractional integration parameter, we suggest a new estimation

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Date: 2014-01-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (9)

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