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

waveletslong-memorystochastic volatility\(k\)-GARMAWhittle estimator

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
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• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
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• Ten Lectures on Wavelets
• The asymptotic theory of linear time-series models
• The detection and estimation of long memory in stochastic volatility
• Wavelet goodness-of-fit test for dependent data
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Cited in

(5)

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

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Uses Software

• wmtsa

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