A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility

  • Alex Gonzaga (Ko-Autor*in)
  • Hauser, M. (Ko-Autor*in)

Aktivität: Vortrag › Wissenschaftlicher Vortrag (Science-to-Science)

Beschreibung

We consider a k-GARMA generalization of the long-memory stochastic volatility (LMSV) model, discuss the properties of the model and propose a wavelet-based Whittle estimator for its parameters. Its consistency is shown. Monte Carlo experiments show favorable properties of the proposed method with respect to the Whittle estimator and a wavelet-based approximate maximum likelihood estimator. An application is given for the Microsoft stock, modeling the intraday seasonal patterns of its realized volatility.
Zeitraum20 Juli 2009 → 24 Juli 2009
EreignistitelEuropean Meeting of Statisticians
VeranstaltungstypKeine Angaben
BekanntheitsgradInternational

Österreichische Systematik der Wissenschaftszweige (ÖFOS)

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