An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
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Cited in
(31)- Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study
- Wavelet-based prediction of oil prices
- Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
- Fractionally integrated GARCH model with tempered stable distribution: a simulation study
- On simple wavelet estimators of random signals and their small-sample properties
- On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
- Wavelet-vaguelette decomposition of spatiotemporal random fields
- Inducing normality from non-Gaussian long memory time series and its application to stock return data
- Improving model performance with the integrated wavelet denoising method
- Wavelet-based option pricing: an empirical study
- Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- An Approximate Wavelet MLE of Short- and Long-Memory Parameters
- Fast approximate likelihood evaluation for stable VARFIMA processes
- Another maximum likelihood estimator for ARFIMA models using wavelets
- Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
- Fractional differencing in discrete time
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
- Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes
- Estimation of long memory in volatility using wavelets
- A wavelet-based Bayesian approach to regression models with long memory errors and its application to fMRI data
- Modelling for the wavelet coefficients of ARFIMA processes
- A generalized ARFIMA model with smooth transition fractional integration parameter
- De-noising option prices with the wavelet method
- Long memory and changepoint models: a spectral classification procedure
- Fast Bayesian estimation for VARFIMA processes with stable errors
- Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method
- ARFIMA processes and outliers: a weighted likelihood approach
- WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
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