This article presents a 2-regime SETAR model with different long-memory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the absolute and squared returns of five stock indices. A comparison to simple...

The asymmetric and persistent adjustment of the European real exchange rates is investigated using the framework of non-linear cointegration. The episodes of slow mean-reversion dynamics over the period from 1979 to 1999 are explained. A test of unit root against STAR cointegration is proposed...

This paper considers a test for conditional heteroscedasticity based on artificial neural networks and compares its performance with some standard tests using a Monte Carlo study. The conditionally heteroscedastic alternative hypothesis is represented by a conditional variance with a neural...