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

DOI10.1007/s00180-009-0168-6zbMath1224.62058MaRDI QIDQ626266

Agnieszka Jach, Piotr S. 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

zbMATH Keywords

discrete wavelet transform; heavy tails; tail index; fractionally integrated GARCH process

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F25: Parametric tolerance and confidence regions

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

65T60: Numerical methods for wavelets

Related Items

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

Uses Software

• itsmr
• wmtsa

Cites Work

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