Estimation of long memory in volatility using wavelets
Lucie Kraicová and Jozef Baruník
| Year of publication: |
Jun 2017
|
|---|---|
| Authors: | Kraicová, Lucie ; Baruník, Jozef |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 21.2017, 3, p. 1-22
|
| Subject: | FIEGARCH | long memory | Monte Carlo | volatility | wavelets | Whittle | Volatilität | Volatility | Zustandsraummodell | State space model | Monte-Carlo-Simulation | Monte Carlo simulation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2016-0101 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011709605