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~person:"Peguin-Feissolle, Anne"
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Peguin-Feissolle, Anne
Guegan, Dominique
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Changing-regime volatility: A fractionally integrated
SETAR
model
Dufrenot, Gilles
;
Guegan, Dominique
;
Peguin-Feissolle, Anne
-
HAL
-
2008
This paper presents a 2-regime
SETAR
model with different long-memory processes in both regimes. We briefly present the …
Persistent link: https://www.econbiz.de/10010750892
Saved in:
2
Changing-regime volatility : A fractionally integrated
SETAR
model
Peguin-Feissolle, Anne
;
Dufrénot, Gilles
;
Guegan, Dominique
-
HAL
-
2006
This paper presents a 2-regime
SETAR
model with different longmemory processes in both regimes. We briefly present the …
Persistent link: https://www.econbiz.de/10008794815
Saved in:
3
Long-memory dynamics in a
SETAR
model - Applications to stock markets
Dufrénot, Gilles
;
Guegan, Dominique
;
Peguin-Feissolle, Anne
-
HAL
-
2005
This paper presents a 2-regime
SETAR
model with a long-memory process in the first regime and a short-memory process in …
Persistent link: https://www.econbiz.de/10008790799
Saved in:
4
Modelling squared returns using a
SETAR
model with long-memory dynamics
Dufrénot, Gilles
;
Guegan, Dominique
;
Peguin-Feissolle, Anne
-
HAL
-
2005
This paper presents a 2-regime
SETAR
model for the volatility with a long-memory process in the first regime and a …
Persistent link: https://www.econbiz.de/10008793159
Saved in:
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