A generalized ARFIMA model with smooth transition fractional integration parameter

DOI10.1515/jtse-2015-0001zbMath1499.62300OpenAlexW2737861033MaRDI QIDQ1695690

Heni Boubaker

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2015-0001

zbMATH Keywords

ILSEwaveletfinancial time serieslocal-stationaritySTR modeltime-varying long memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (2)

A new time-varying model for forecasting long-memory series ⋮ Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation

Uses Software

• longmemo
• wmtsa

Cites Work

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