Estimation of long memory in volatility using wavelets
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Publication:2691712
DOI10.1515/snde-2016-0101OpenAlexW1953844655MaRDI QIDQ2691712
Publication date: 30 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2016-0101
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)
Uses Software
Cites Work
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