Title: Modelling persistence change in fractionally integrated models
Authors: Luis Filipe Martins - ISCTE-IUL (Portugal) [presenting]
Josu Arteche - University of the Basque Country UPV/EHU (Spain)
Abstract: In recent years a vast literature documenting changes in the historical behaviour of economic and financial time series has been put forward. The popular parsimonious long-memory ARFIMA model describes both short and long memories simultaneously. There has been proposed parametric local stationary long-memory models. A new approach is proposed to model persistence change in fractionally integrated models. The model's statistical properties, estimation and inference is also studied.