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

DOI10.1007/s00180-009-0168-6zbMath1224.62058OpenAlexW2083285201MaRDI 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 transformheavy tailstail indexfractionally integrated GARCH process

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Numerical methods for wavelets (65T60)

Related Items

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

Uses Software

• itsmr
• wmtsa

Cites Work

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