Kraicova, Lucie; Barunik, Jozef - Institut für Volkswirtschaftslehre, … - 2015
This work studies wavelet-based Whittle estimator of the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroscedasticity (FIEGARCH) model, often used for modeling long memory in volatility of financial assets. The newly proposed estimator approximates the spectral...