A wavelet Whittle estimator of generalized long-memory stochastic volatility

DOI10.1007/s10260-010-0153-9zbMath1332.62074OpenAlexW2075576847MaRDI QIDQ261551

Alex Gonzaga, Michael A. Hauser

Publication date: 24 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-010-0153-9

zbMATH Keywords

waveletsstochastic volatility\(k\)-GARMAlong-memoryWhittle estimator

Mathematics Subject Classification ID

Related Items (3)

Estimation and forecasting of long memory stochastic volatility models ⋮ Estimation of long memory in volatility using wavelets ⋮ Multivariate Wavelet Whittle Estimation in Long-range Dependence

Uses Software

• wmtsa

Cites Work

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