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• W2562209323 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 modelling some financial series." @default.
• W2562209323 created "2017-01-06" @default.
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• W2562209323 date "2008-05-09" @default.
• W2562209323 modified "2023-09-27" @default.
• W2562209323 title "A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt - [Document de travail n°2008 - 10]" @default.
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• W2562209323 hasPublicationYear "2008" @default.
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