Biblio

Found 3 results
Filters: Author is Dominique Guégan  [Clear All Filters]
2008
Changing-regime volatility: a fractionally integrated SETAR modelJournal articleGilles Dufrénot, Dominique Guégan and Anne Péguin-Feissolle, Applied Financial Economics, Volume 18, Issue 7, pp. 519-526, 2008
2005
Long-memory dynamics in a SETAR model - applications to stock marketsJournal articleGilles Dufrénot, Dominique Guégan and Anne Péguin-Feissolle, Journal of International Financial Markets, Institutions and Money, Volume 15, Issue 5, pp. 391-406, 2005
Modelling squared returns using a SETAR model with long-memory dynamicsJournal articleGilles Dufrénot, Dominique Guégan and Anne Péguin-Feissolle, Economics Letters, Volume 86, Issue 2, pp. 237-243, 2005