Baruník, Jozef; Kraicová, Lucie - 2014
wavelet transform, which improves the estimator performance, as we show in the experiment extension. Next, we study all the …-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH-family model capturing long-memory and asymmetry in volatility …, and study its properties. Based on an extensive Monte Carlo experiment, both the behavior of the new estimator in various …