A Haar–Fisz technique for locally stationary volatility estimation (Q3434086)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Haar–Fisz technique for locally stationary volatility estimation |
scientific article |
Statements
A Haar–Fisz technique for locally stationary volatility estimation (English)
0 references
23 April 2007
0 references
GARCH model
0 references
Haar wavelet
0 references
Locally stationary model
0 references
Variance-stabilising transform
0 references
Wavelet thresholding
0 references
Currency exchange rates
0 references
