Wavelet semi-parametric inference for long memory in volatility in the presence of a trend

DOI10.1080/00949655.2016.1272116OpenAlexW2565975535MaRDI QIDQ5106867

Agnieszka Jach, Piotr S. Kokoszka

Publication date: 22 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2016.1272116

zbMATH Keywords

waveletsstochastic volatilitylong memorydeterministic trend

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

Related Items (2)

Penalized power approach to compare the power of the tests when Type I error probabilities are different ⋮ Testing for Change in Long‐Memory Stochastic Volatility Time Series

Uses Software

• wmtsa

Cites Work

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