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.

RIS

@CONFERENCE{Gonzaga2014,
title = {Estimation of Generalized Long-Memory Stochastic Volatility: Whittle and Wavelets},
author = {Alex Gonzaga and Michael Hauser},
year = {2014},
address = {Pisa},
language = {EN},
misc = {CFE 2014, 8th International Conference on Computational and Financial Econometrics},
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.},
}