A wavelet Whittle estimator of generalized long-memory stochastic volatility.
Alex C. GonzagaMichael HauserPublished in: Stat. Methods Appl. (2011)
Keyphrases
- maximum likelihood
- memory requirements
- wavelet transform
- multiscale
- wavelet coefficients
- multiresolution
- error estimation
- stock market
- memory usage
- wavelet domain
- wavelet decomposition
- stock index futures
- optimal control problems
- wavelet neural network
- maximum a posteriori
- associative memory
- least squares
- feature extraction
- exchange rate
- learning automata
- main memory
- financial crisis
- monte carlo
- computational complexity
- soft thresholding