In this article, we propose two new semiparametric estimators in the wavelet domain in order to estimate the parameter of nonstationary long memory models. Compared to the Fourier transform, the advantage of the wavelet approach to analyze the behavior of nonstationary time series is that it can...

This paper shows the usefulness and relevance of the multivariate fractional cointegration in exploring the dynamic

This paper investigates the dependence structure between daily oil price changes and stock market returns in six GCC countries (Bahrain, Kuwait,Oman, Qatar, Saudi Arabia and United Arab Emirates) during the period from June 1, 2005 to February 11, 2013. For that, we apply three Archimedean...

This paper examines the dynamic dependence between American and four developed stock markets, namely, Japan, United Kingdom, Germany and France during a recent period including the global Â…nancial crisis 2007-2009. The econometric approach is based on the extreme-value time-varying copula...

This paper proposes a new class of semiparametric generalized long memory model with FIA- PARCH errors (SEMIGARMA-FIAPARCH model) that extends the conventionnel GARMA model to incorporate nonlinear deterministic trend, in the mean equation, and to allow for time varying volatility, in the...

This paper investigates the dynamic properties of both return and volatility of the oil price. The analysis is carried out using a set of double long memory specifications incorporating several features such as long range dependence, asymmetry in conditional variances and time varying...