Estimation of long memory in volatility using wavelets

DOI10.1515/snde-2016-0101OpenAlexW1953844655MaRDI QIDQ2691712

Jozef Barunik, Lucie Kraicová

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0101

zbMATH Keywords

waveletsMonte Carlolong memoryvolatilityWhittleFIEGARCH

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

Uses Software

• longmemo
• wmtsa

Cites Work

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