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Unformatted text preview: 10000 ARFIMASTARFI-STAR FI-STAR GARCH STAR ARFIMASTARLSTARESTAR Abstract This paper emphasis on the ARFIMA model and its estimation as well as provide a brief sketch on the basic form and some extensions of smooth transition autoregressive model. Then, we review the nonlinear test and model specification test of a given economic process and introduce the fractional integrated STAR model. Finally, for the model appliance, we subtly combine the FI-STAR model with GARCH model as an adjustment of the residuals to provide a framework of the research on the leverage effect and interactions between different stock market. These preliminary explorations are still as some attempts of using STAR family model to analysis the micro economic and market processes. Key word: ARFIMASTARLSTARESTAR 1958.12.21 1982 05 12 1 ARFIMA Granger Joyeux1980  ARMA...
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This note was uploaded on 10/10/2011 for the course ECON 3250 taught by Professor Wan during the Spring '11 term at Hong Kong Baptist University, China.
- Spring '11