  In this work we propose a new class of long-memory models with time-varying
fractional parameter. In particular, the dynamics of the long-memory
coefficient, $d$, is specified through a stochastic recurrence equation driven
by the score of the predictive likelihood, as suggested by Creal et al. (2013)
and Harvey (2013). We demonstrate the validity of the proposed model by a Monte
Carlo experiment and an application to two real time series.
