Quotation Gonzaga, Alex, Hauser, Michael. 2009. A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility. European Meeting of Statisticians, Toulouse, Frankreich, 20.07.-24.07.


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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

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility
Event European Meeting of Statisticians
Year 2009
Date 20.07.-24.07.
Country France
Location Toulouse

Associations

People
Hauser, Michael (Details)
External
Gonzaga, Alex
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5707 Time series analysis (Details)
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