Modelling squared returns using a SETAR model with long-memory dynamics
type: Item
instance of: scholarly article
title: Modelling squared returns using a SETAR model with long-memory dynamics
zbMATH Open document ID: 1254.91654
author: Dominique Guegan
author: Anne Peguin-Feissolle
author: Gilles Dufrénot
published in: Economics Letters
publication date: 2013-01-02T00:00:00Z
full work available at URL: Guegan-dufrenot-peguin econletter2005.pdf
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6120825
zbMATH Keywords: SETAR
zbMATH Keywords: long-memory
zbMATH Keywords: FARIMA models
zbMATH Keywords: stock indices
MaRDI profile type: Publication
OpenAlex ID: W1996869312
cites work: Modeling and Forecasting Realized Volatility
cites work: Long memory relationships and the aggregation of dynamic models
cites work: A nonlinear long memory model, with an application to US unemployment.
DOI: 10.1016/J.ECONLET.2004.07.014
description: scientific article; zbMATH DE number 6120825