Quotation 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.


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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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Publication's profile

Status of publication Published
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)
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