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A simple fractionally integrated model with a time-varying long memory parameter \(d_t\). (English) Zbl 1136.91564

Summary: 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.

MSC:

91B84 Economic time series analysis

Software:

longmemo
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