{"id":"https://openalex.org/W3048108331","doi":null,"title":"Time varying fractionally integrated model","display_name":"Time varying fractionally integrated model","publication_year":2010,"publication_date":"2010-01-01","ids":{"openalex":"https://openalex.org/W3048108331","mag":"3048108331"},"language":"fr","primary_location":{"id":"mag:3048108331","doi":null,"is_oa":false,"landing_page_url":"https://hal.inria.fr/inria-00494736","pdf_url":null,"source":{"id":"https://openalex.org/S4306499402","display_name":"42\u00e8mes Journ\u00e9es de Statistique","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":"42\u00e8mes Journ\u00e9es de Statistique","raw_type":null},"volume":null,"type":"article","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5080449867","display_name":"Adnen Ben Nasr","orcid":"https://orcid.org/0000-0003-3654-3499","observed_orcids":["https://orcid.org/0000-0003-3654-3499"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Adnen Ben Nasr","raw_affiliation_strings":["Laboratoire BESTMOD ISG Tunis"],"raw_orcid":"https://orcid.org/0000-0003-3654-3499","affiliations":[{"raw_affiliation_string":"Laboratoire BESTMOD ISG Tunis","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5036971141","display_name":"Mohamed Boutahar","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4210129108","display_name":"Aix-Marseille Sciences Economiques","ror":"https://ror.org/02ek9wp67","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I21491767","https://openalex.org/I4210129108","https://openalex.org/I4210150854"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Mohamed Boutahar","raw_affiliation_strings":["Groupement de Recherche en \u00c9conomie Quantitative d'Aix-Marseille"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Groupement de Recherche en \u00c9conomie Quantitative d'Aix-Marseille","institution_ids":["https://openalex.org/I4210129108"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.60096493,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.5259000062942505,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.5259000062942505,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.44600000977516174,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12205","display_name":"Time Series Analysis and Forecasting","score":0.010599999688565731,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/long-range-dependence","display_name":"long-range dependence","score":0.6449999809265137},{"id":"https://openalex.org/keywords/structural-breaks","display_name":"structural breaks","score":0.7799999713897705},{"id":"https://openalex.org/keywords/change-point-detection","display_name":"change point detection","score":0.5659999847412109},{"id":"https://openalex.org/keywords/score-test","display_name":"score test","score":0.8790000081062317},{"id":"https://openalex.org/keywords/persistence","display_name":"persistence","score":0.4790000021457672}],"concepts":[{"id":"https://openalex.org/C15708023","wikidata":"https://www.wikidata.org/wiki/Q80083","display_name":"Humanities","level":1,"score":0.5822834372520447},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.45722877979278564},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.32086265087127686}],"mesh":[],"locations_count":1,"locations":[{"id":"mag:3048108331","doi":null,"is_oa":false,"landing_page_url":"https://hal.inria.fr/inria-00494736","pdf_url":null,"source":{"id":"https://openalex.org/S4306499402","display_name":"42\u00e8mes Journ\u00e9es de Statistique","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":"42\u00e8mes Journ\u00e9es de Statistique","raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W587967005","https://openalex.org/W2093720405","https://openalex.org/W7143352885","https://openalex.org/W2016216763","https://openalex.org/W616999505","https://openalex.org/W7097074672","https://openalex.org/W583727805","https://openalex.org/W1990269879","https://openalex.org/W3181734726","https://openalex.org/W6983499515"],"abstract_inverted_index":{"Nous":[0,34],"proposons":[1],"un":[2,28,36,126],"nouveau":[3],"modele":[4,20],"afin":[5,43],"de":[6,12,24,38,40,44,53,57,62,67,74,79,95,113,132],"modeliser":[7],"les":[8,104],"series":[9],"temporelles":[10],"avec":[11],"la":[13,80,83,89],"persistance":[14,123],"variable":[15],"dans":[16,59,121,129],"le":[17,46,55,60,71,93,130],"temps.":[18],"Ce":[19],"permet":[21],"au":[22,77],"parametre":[23,61,131],"memoire":[25,63,133],"longue":[26],"d'avoir":[27],"ou":[29],"plusieurs":[30],"changements":[31,58],"structurels":[32],"continus.":[33],"developpons":[35],"test":[37,72],"Multiplicateur":[39],"Lagrange":[41],"(LM)":[42],"tester":[45],"changement":[47,127],"structurel,":[48],"et":[49,82],"une":[50,119],"strategie":[51,90],"permettant":[52],"determiner":[54],"nombre":[56,94],"longue.":[64,134],"Des":[65],"etudes":[66],"simulation":[68],"montrent":[69,86],"que":[70,88,112],"a":[73],"bonnes":[75],"proprietes":[76],"niveau":[78],"taille":[81],"puissance;":[84],"elles":[85],"aussi":[87],"proposee":[91],"identifiant":[92],"regimes":[96],"est":[97],"tres":[98],"satisfaisante.":[99],"Une":[100],"application":[101],"empirique":[102],"sur":[103],"valeurs":[105],"absolues":[106],"des":[107],"rentabilites":[108],"du":[109],"CAC40":[110],"indique":[111],"telles":[114],"donnees":[115],"sont":[116],"caracterisees":[117],"par":[118,125],"instabilite":[120],"leur":[122],"expliquee":[124],"structurel":[128]},"counts_by_year":[],"updated_date":"2026-09-21T07:43:02.447757","created_date":"2020-08-13T00:00:00"}
