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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
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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
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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
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Global and local stationary modelling in finance : theory and empirical evidence
Guegan, Dominique - HAL - 2007
behaviors is created by this fact. It concerns Markov switching processes, Stopbreak models and SETAR processes. Then, new …
Persistent link: https://www.econbiz.de/10010750670
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Global and local stationary modelling in finance : theory and empirical evidence.
Guégan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007
behaviors is created by this fact. It concerns Markov switching processes, Stopbreak models and SETAR processes. Then, new …
Persistent link: https://www.econbiz.de/10005670891
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Non linear models and the load of an electricity distributor
Simões, Mário Domingues de Paula; Klotzle, Marcelo Cabus - In: International journal of energy sector management : IJESM 9 (2015) 1, pp. 38-56
Persistent link: https://www.econbiz.de/10011305165
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A new consensus between the mean and median combination methods to improve forecasting accuracy
Aras, Serkan; Gülay, Emrah - In: Serbian journal of management : an international … 12 (2017) 2, pp. 217-236
To improve the forecasting accuracies, researchers have long been using various combination techniques. In particular …, the use of dissimilar methods for forecasting time series data is expected to provide superior results. Although numerous …
Persistent link: https://www.econbiz.de/10011823167
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A Simple Model for Vast Panels of Volatilities
Veredas, David; Luciani, Mattéo - European Centre for Advanced Research in Economics and … - 2011
market characteristic. iv) The volatility of the realized volatility is not constant and common to all. v) A forecasting …
Persistent link: https://www.econbiz.de/10009294859
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A model for vast panels of volatilities
Luciani, Matteo; Veredas, David - 2012
volatility of the realized volatility is not constant and common to all. v) A forecasting horse race against 8 competing models …
Persistent link: https://www.econbiz.de/10012530396
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A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices
Qu, Zhongjun; Perron, Pierre - Department of Economics, Boston University - 2008
Empirical ?ndings related to the time series properties of stock returns volatility indicate autocorrelations that decay slowly at long lags. In light of this, several long-memory models have been proposed. However, the possibility of level shifts has been advanced as a possible explanation for...
Persistent link: https://www.econbiz.de/10004991570