A Haar–Fisz technique for locally stationary volatility estimation

DOI10.1093/BIOMET/93.3.687zbMath1109.62095OpenAlexW2067755515MaRDI QIDQ3434086

Piotr Fryzlewicz, Theofanis Sapatinas, Suhasini Subba Rao

Publication date: 23 April 2007

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/25225/

zbMATH Keywords

Haar waveletGARCH modelWavelet thresholdingCurrency exchange ratesLocally stationary modelVariance-stabilising transform

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for wavelets (65T60)

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