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.

RIS

@CONFERENCE{Gonzaga2009,
title = {A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility},
author = {Alex Gonzaga and Michael Hauser},
year = {2009},
address = {Toulouse},
language = {EN},
misc = {European Meeting of Statisticians},
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.},
}