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A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t

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Abstract

This paper generalizes the standard long memory modeling by assuming that the long memory parameter d is stochastic and time-varying: we introduce a STAR process on this parameter characterized by a logistic function. We propose an estimation method of this model. Some simulation experiments are conducted. The empirical results suggest that this new model offers an interesting alternative competing framework to describe the persistent dynamics in modeling some financial series.

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Authors and Affiliations

  1. GREQAM, Université de la Méditerranée, 2 rue de la Charite, 13236, Marseille cedex 02, France

    Mohamed Boutahar

  2. GREQAM, Université Paris 12, Paris, France

    Gilles Dufrénot

  3. GREQAM-CNRS, 2 rue de la Charite, 13236, Marseille cedex 02, France

    Anne Péguin-Feissolle

Authors
  1. Mohamed Boutahar
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  2. Gilles Dufrénot
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  3. Anne Péguin-Feissolle
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Correspondence to Anne Péguin-Feissolle.

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Boutahar, M., Dufrénot, G. & Péguin-Feissolle, A. A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t . Comput Econ 31, 225–241 (2008). https://doi.org/10.1007/s10614-007-9115-1

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  • DOI: https://doi.org/10.1007/s10614-007-9115-1

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