A wavelet Whittle estimator of generalized long-memory stochastic volatility

DOI10.1007/S10260-010-0153-9MaRDI QIDQ261551zbMATH OpenOpenAlexFDO

Authors Alex Gonzaga, Michael A. Hauser

Publication date 24 March 2016

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-010-0153-9

zbMATH Keywords

\(k\)-GARMAlong-memorystochastic volatilitywaveletsWhittle estimator

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

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• Semiparametric inference in seasonal and cyclical long memory processes
• Ten Lectures on Wavelets
• The asymptotic theory of linear time-series models
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• Wavestrapping time series: Adaptive wavelet-based bootstrapping

Cited in

(5)

• Multivariate wavelet Whittle estimation in long-range dependence
• Estimation of long memory in volatility using wavelets
• WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS
• Estimation and forecasting of long memory stochastic volatility models
• Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus

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Uses Software

• wmtsa

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