A Haar–Fisz technique for locally stationary volatility estimation
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Publication:3434086
DOI10.1093/biomet/93.3.687zbMath1109.62095MaRDI QIDQ3434086
Piotr Fryzlewicz, Theofanis Sapatinas, Suhasini Subba Rao
Publication date: 23 April 2007
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/25225/
Haar wavelet; GARCH model; Wavelet thresholding; Currency exchange rates; Locally stationary model; Variance-stabilising transform
62P05: Applications of statistics to actuarial sciences and financial mathematics
65T60: Numerical methods for wavelets
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