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Applied Financial Economics Volume 18, 2008 - Issue 7
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Original Articles

Changing-regime volatility: a fractionally integrated SETAR model

Gilles Dufrénot ERUDITE, Université, Paris 12; GREQAM, Centre de la Vieille Charité, 2 rue de la Charité, 13002 Marseille, France
,
Dominique Guégan Ecole Normale Supérieure de Cachan, MORA-IDHE, UMR-CNRS, and Senior Academic Fellow de l'IEF, 61 avenue du Président Wilson, 94235, Cachan, Cédex, France
&
Anne Péguin-Feissolle GREQAM, Centre de la Vieille Charité, 2 rue de la Charité, 13002 Marseille, FranceCorrespondence[email protected]
Pages 519-526 | Published online: 25 Mar 2008

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Marwan Izzeldin, M. Kabir Hassan, Vasileios Pappas & Mike Tsionas. (2019) Forecasting realised volatility using ARFIMA and HAR models. Quantitative Finance 19:10, pages 1627-1638.
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Articles from other publishers (3)

Wenyu Zhang, Maryclare Griffin & David S. Matteson. (2023) Modeling a nonlinear biophysical trend followed by long-memory equilibrium with unknown change point. The Annals of Applied Statistics 17:1.
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Heni Boubaker. (2017) A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter. Journal of Time Series Econometrics 10:1.
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Heni Boubaker, Giorgio Canarella, Rangan Gupta & Stephen M. Miller. (2017) Time-varying persistence of inflation: evidence from a wavelet-based approach. Studies in Nonlinear Dynamics & Econometrics 21:4.
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