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Estimators of long-memory: Fourier versus wavelets

Citations

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Cited by:

  1. Hailin Sang & Yongli Sang, 2017. "Memory properties of transformations of linear processes," Statistical Inference for Stochastic Processes, Springer, vol. 20(1), pages 79-103, April.
  2. Jean-Christophe Breton & Jean-François Coeurjolly, 2012. "Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size," Statistical Inference for Stochastic Processes, Springer, vol. 15(1), pages 1-26, April.
  3. Aleksandr Beknazaryan & Hailin Sang & Peter Adamic, 2023. "On the integrated mean squared error of wavelet density estimation for linear processes," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 235-254, July.
  4. Barunik, Jozef & Barunikova, Michaela, 2015. "Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression," FinMaP-Working Papers 43, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  5. Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, vol. 6(1), pages 1-21, March.
  6. Michis, Antonis A., 2014. "Time scale evaluation of economic forecasts," Economics Letters, Elsevier, vol. 123(3), pages 279-281.
  7. Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Gold, oil, and stocks: Dynamic correlations," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 186-201.
  8. Cai, Chunhao & Cheng, Xuwen & Xiao, Weilin & Wu, Xiang, 2019. "Parameter identification for mixed fractional Brownian motions with the drift parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  9. Antonis A. Michis, 2022. "Multiscale Partial Correlation Clustering of Stock Market Returns," JRFM, MDPI, vol. 15(1), pages 1-22, January.
  10. Roueff, François & von Sachs, Rainer, 2011. "Locally stationary long memory estimation," Stochastic Processes and their Applications, Elsevier, vol. 121(4), pages 813-844, April.
  11. 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.
  12. Heni Boubaker & Anne Péguin-Feissolle, 2013. "Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets," Computational Economics, Springer;Society for Computational Economics, vol. 42(3), pages 291-306, October.
  13. Jozef Barunik & Michaela Barunikova, 2012. "Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression," Papers 1208.4831, arXiv.org, revised Feb 2013.
  14. Zhang, Pu & Sun, Qi & Xiao, Wei-Lin, 2014. "Parameter identification in mixed Brownian–fractional Brownian motions using Powell's optimization algorithm," Economic Modelling, Elsevier, vol. 40(C), pages 314-319.
  15. Roueff, F. & Taqqu, M.S., 2009. "Central limit theorems for arrays of decimated linear processes," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 3006-3041, September.
  16. M. Ege Yazgan & Hakan Yilmazkuday, 2016. "High versus low inflation: implications for price-level convergence," Empirical Economics, Springer, vol. 50(4), pages 1527-1563, June.
  17. Baruník, Jozef & Hlínková, Michaela, 2016. "Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression," Economic Modelling, Elsevier, vol. 54(C), pages 503-514.
  18. Kei Nanamiya, 2014. "Modelling For The Wavelet Coefficients Of Arfima Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 341-356, July.
  19. Dominique Guegan & Zhiping Lu & Beijia Zhu, 2012. "Comparaison of Several Estimation Procedures for Long Term Behavior," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00673934, HAL.
  20. Linyuan Li & Kewei Lu, 2013. "On rate-optimal nonparametric wavelet regression with long memory moving average errors," Statistical Inference for Stochastic Processes, Springer, vol. 16(2), pages 127-145, July.
  21. Mohamed Boutahar & Rabeh Khalfaoui2, 2011. "Estimation of the long memory parameter in non stationary models: A Simulation Study," Working Papers halshs-00595057, HAL.
  22. Sophie Achard & Irène Gannaz, 2016. "Multivariate Wavelet Whittle Estimation in Long-range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 476-512, July.
  23. Boryana Bogdanova & Ivan Ivanov, 2016. "A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of Southeast Europe," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(4), pages 655-673, March.
  24. F. Roueff & M. S. Taqqu, 2009. "Asymptotic normality of wavelet estimators of the memory parameter for linear processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(5), pages 534-558, September.
  25. Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xi-Li & Wang, Ying-Luo, 2010. "Pricing currency options in a fractional Brownian motion with jumps," Economic Modelling, Elsevier, vol. 27(5), pages 935-942, September.
  26. Cheung, Ying Lun, 2020. "Nonstationarity-extended Whittle estimation with discontinuity: A correction," Economics Letters, Elsevier, vol. 187(C).
  27. Thomas Conlon & John Cotter & Ramazan Gençay, 2015. "Long-run international diversification," Working Papers 201502, Geary Institute, University College Dublin.
  28. Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
  29. Ying Lun Cheung & Uwe Hassler, 2020. "Whittle-type estimation under long memory and nonstationarity," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(3), pages 363-383, September.
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