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.




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


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