A wavelet Whittle estimator of generalized long-memory stochastic volatility

Alex Gonzaga () and Michael Hauser ()

Statistical Methods & Applications, 2011, vol. 20, issue 1, 23-48

Keywords: Long-memory; k-GARMA; Stochastic volatility; Whittle estimator; Wavelets (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10260-010-0153-9

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