Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models

DOI10.1007/S00180-009-0168-6zbMATH Open1224.62058OpenAlexW2083285201MaRDI QIDQ626266FDOQ626266

Authors: Agnieszka Jach, Piotr Kokoszka 

Publication date: 22 February 2011

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-009-0168-6

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zbMATH Keywords

heavy tailstail indexdiscrete wavelet transformfractionally integrated GARCH process

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for wavelets (65T60)

Cites Work

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Cited In (3)

• On robust tail index estimation for linear long-memory processes
• A tail index estimation for long memory processes
• Relative forecasting performance of volatility models: Monte Carlo evidence

Uses Software

• itsmr
• wmtsa

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