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Wavelet estimation of Gegenbauer processes : simulation and empirical application

Boubaker, Heni - In: Computational economics 46 (2015) 4, pp. 551-574

Persistent link: https://www.econbiz.de/10011478889

A generalized ARFIMA model with smooth transition fractional integration parameter

Boubaker, Heni - In: Journal of time series econometrics 10 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011817682

Nonlinear cointegration relationships between non-life insurance premiums and financial markets

Jawadi, Fredj; Bruneau, Catherine; Sghaier, Nadia - In: The journal of risk and insurance : the journal of the … 76 (2009) 3, pp. 753-783

Persistent link: https://www.econbiz.de/10003877884

Time-varying persistence of inflation : evidence from a wavelet-based approach

Boubaker, Heni; Canarella, Giorgio; Gupta, Rangan; … - 2016

Persistent link: https://www.econbiz.de/10011547555

From oil to stock markets

Guesmi, Khaled; Boubaker, Heni; Lai, Van Son - In: Journal of economic integration 31 (2016) 1, pp. 103-133

Persistent link: https://www.econbiz.de/10011451684

Foreign exchange market efficiency : fractional cointegration approach

Belkacem, Lotfi; Meddeb, Zahra el; Boubaker, Heni - In: International journal of business 10 (2005) 3, pp. 285-302

Persistent link: https://www.econbiz.de/10003176641

Time-Varying Persistence of Inflation : Evidence from a Wavelet-Based Approach

Boubaker, Heni - 2017

We propose a new long-memory model with a time-varying fractional integration parameter, evolving non-linearly according to a Logistic Smooth Transition Autoregressive (LSTAR) specification. To estimate the time-varying fractional integration parameter, we implement a method based on the wavelet...

Persistent link: https://www.econbiz.de/10012968414

Forecasting volatility for an optimal portfolio with stylized facts using copulas

Karmous, Aida; Boubaker, Heni; Belkacem, Lotfi - In: Computational economics 58 (2021) 2, pp. 461-482

Persistent link: https://www.econbiz.de/10012615046

Long-memory modeling and forecasting : evidence from the U.S. historical series of inflation

Boubaker, Heni; Canarella, Giorgio; Gupta, Rangan; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 5, pp. 289-310

Persistent link: https://www.econbiz.de/10012806531

Estimating the long-memory parameter in nonstationary processes using wavelets

Boubaker, Heni; Péguin-Feissolle, Anne - In: Computational economics 42 (2013) 3, pp. 291-306

Persistent link: https://www.econbiz.de/10010189026