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.
BibTeX
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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Status of publication | Published |
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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)