Estimation of long memory in volatility using wavelets
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- Kraicová Lucie & Baruník Jozef, 2017. "Estimation of long memory in volatility using wavelets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-22, June.
- Jozef Baruník & Lucie Kraicová, 2014. "Estimation of Long Memory in Volatility Using Wavelets," Working Papers IES 2014/33, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2014.
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More about this item
Keywords
volatility; long memory; FIEGARCH; wavelets; Whittle; Monte Carlo;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2015-04-11 (Econometric Time Series)
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