Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
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DOI: 10.1080/00949655.2016.1272116
Abstract: ABSTRACT Risk of investing in a financial asset is quantified by functionals of squared returns. Discrete time stochastic volatility (SV) models impose a convenient and practically relevant time series dependence structure on the log-squared returns.… read more here.
Keywords: long memory; memory; memory volatility; wavelet semi ... See more keywords