Biblio
Found 3 results
Filters: Author is Dominique Guégan [Clear All Filters]
Changing-regime volatility: a fractionally integrated SETAR modelJournal article , Applied Financial Economics, Volume 18, Issue 7, pp. 519-526, 2008
Long-memory dynamics in a SETAR model - applications to stock marketsJournal article , 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 article , Economics Letters, Volume 86, Issue 2, pp. 237-243, 2005