Gonzaga, Alex, Hauser, Michael. 2014. Estimation of Generalized Long-Memory Stochastic Volatility: Whittle and Wavelets. CFE 2014, 8th International Conference on Computational and Financial Econometrics, Pisa, Italien, 06.12.-08.12.
BibTeX
Abstract
We compare the Whittle and a wavelet based Whittle estimator, WWE, for $k$-GARMA and generalized stochastic long-memory volatility models, GLMSV. We show that the decorrelation properties of wavelets of different levels for FI also hold for k-GARMA and GLMSV models. This property is used to derive a wavelet Whittle estimator, which also is shown to be consistent. The small sample properties of Whitcher's(2004) [DWPT, GML], WWE and Whittle's estimator are compared. The WWE clearly dominates Whichter's estimator, and is essentially indistinguishable to Whittle's. Finally, the WWE is illustrated by fitting a GLMSV to Microsoft realized volatilities.
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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 | Estimation of Generalized Long-Memory Stochastic Volatility: Whittle and Wavelets |
Event | CFE 2014, 8th International Conference on Computational and Financial Econometrics |
Year | 2014 |
Date | 06.12.-08.12. |
Country | Italy |
Location | Pisa |
Associations
- People
- Hauser, Michael (Details)
- External
- Gonzaga, Alex (University of the Philippines,Manila, Philippines)
- Organization
- Institute for Statistics and Mathematics IN (Details)
- Research areas (Ă–STAT Classification 'Statistik Austria')
- 5707 Time series analysis (Details)