Quotation Gonzaga, Alex, Hauser, Michael. Forthcoming. A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility.


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Abstract

We consider a k-GARMA generalization of the long-memory stochastic volatility (LMSV) model, discuss the properties of the model and propose a wavelet-based Whittle estimator for its parameters. Its consistency is shown. Monte Carlo experiments show favorable properties of the proposed method with respect to the Whittle estimator and a wavelet-based approximate maximum likelihood estimator. An application is given for the Microsoft stock, modeling the intraday seasonal patterns of its realized volatility.

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Publication's profile

Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility
Year 2009

Associations

People
Hauser, Michael (Details)
External
Gonzaga, Alex (University of the Philippinens, Manila, Philippines)
Organization
Institute for Statistics and Mathematics IN (Details)
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