Wavelets and Estimation of Long Memory in Log Volatility and Time Series Perturbed by Noise
نویسندگان
چکیده
منابع مشابه
Wavelets and Estimation of Long Memory in Log Volatility and Time Series Perturbed by Noise
Percival and Walden (2002) present a wavelet methodology of the least squaresestimation of the long memory parameter for fractionally differenced processes. Wesuggest that the general idea of using wavelets for estimating long memory could beused for the estimation of long memory in time series perturbed by noise. One prominentexample thereof is the time series of log-Garman-Kla...
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ژورنال
عنوان ژورنال: Acta Oeconomica Pragensia
سال: 2012
ISSN: 0572-3043,1804-2112
DOI: 10.18267/j.aop.360