An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
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Publication:1978479
DOI10.1016/S0165-1889(99)00010-XzbMath0953.91058MaRDI QIDQ1978479
Publication date: 4 June 2000
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Related Items (26)
De-noising option prices with the wavelet method ⋮ Fast approximate likelihood evaluation for stable VARFIMA processes ⋮ Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion ⋮ A generalized ARFIMA model with smooth transition fractional integration parameter ⋮ Improving model performance with the integrated wavelet denoising method ⋮ Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility ⋮ Estimation of long memory in volatility using wavelets ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ Long memory and changepoint models: a spectral classification procedure ⋮ Fractionally integrated GARCH model with tempered stable distribution: a simulation study ⋮ Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme ⋮ Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method ⋮ Wavelet-based option pricing: an empirical study ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ⋮ A Wavelet‐Based Bayesian Approach to Regression Models with Long Memory Errors and Its Application to fMRI Data ⋮ Wavelet-based prediction of oil prices ⋮ MODELLING FOR THE WAVELET COEFFICIENTS OF ARFIMA PROCESSES ⋮ Fractional differencing in discrete time ⋮ Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models ⋮ Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes ⋮ Wavelet-vaguelette decomposition of spatiotemporal random fields ⋮ On simple wavelet estimators of random signals and their small-sample properties ⋮ WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators ⋮ Inducing normality from non-Gaussian long memory time series and its application to stock return data ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors
Uses Software
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