Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
| Year of publication: |
2010
|
|---|---|
| Authors: | Jach, Agnieszka ; Kokoszka, Piotr |
| Published in: |
Computational Statistics. - Springer. - Vol. 25.2010, 1, p. 163-182
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| Publisher: |
Springer |
| Subject: | Heavy tails | Long memory | Volatility | Wavelets |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008596094