A wavelet Whittle estimator of generalized long-memory stochastic volatility
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Publication:261551
DOI10.1007/s10260-010-0153-9zbMath1332.62074OpenAlexW2075576847MaRDI QIDQ261551
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
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Related Items (3)
Estimation and forecasting of long memory stochastic volatility models ⋮ Estimation of long memory in volatility using wavelets ⋮ Multivariate Wavelet Whittle Estimation in Long-range Dependence
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Cites Work
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