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A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt
Boutahar, Mohamed
;
Dufrénot, Gilles
;
Peguin-Feissolle, Anne
-
HAL
-
2008
time varying: we introduce a STAR process on this parameter characterized by a
logistic
function
. We propose an estimation …
Persistent link: https://www.econbiz.de/10008793582
Saved in:
2
A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d <Subscript> t </Subscript>
Boutahar, Mohamed
;
Dufrénot, Gilles
; …
- In:
Computational Economics
31
(
2008
)
3
,
pp. 225-241
Persistent link: https://www.econbiz.de/10005701729
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