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Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni - In: Computational economics 55 (2020) 2, pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
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Optimal filter approximations for latent long memory stochastic volatility
Yap, Grace Lee Ching - In: Computational economics 56 (2020) 2, pp. 547-568
Persistent link: https://www.econbiz.de/10012272047
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Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
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Modelling time-varying parameters in panel data state-space frameworks : an application to the Feldstein–Horioka puzzle
Camarero Olivas, Mariam; Sapena, Juan; Tamarit … - In: Computational economics 56 (2020) 1, pp. 87-114
Persistent link: https://www.econbiz.de/10012272020
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Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
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Approximate Bayesian estimation of stochastic volatility in mean models using hidden Markov models : empirical evidence from emerging and developed markets
Abanto-Valle, Carlos A.; Rodriguez, Gabriel; Castro … - In: Computational economics 64 (2024) 3, pp. 1775-1801
Persistent link: https://www.econbiz.de/10015143955
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Wavelet estimation of Gegenbauer processes : simulation and empirical application
Boubaker, Heni - In: Computational economics 46 (2015) 4, pp. 551-574
Persistent link: https://www.econbiz.de/10011478889
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A comparative study of the performance of estimating long-memory parameter using wavelet-based entropies
Boubaker, Heni - In: Computational economics 48 (2016) 4, pp. 693-731
Persistent link: https://www.econbiz.de/10011713102
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Estimating the long-memory parameter in nonstationary processes using wavelets
Boubaker, Heni; Péguin-Feissolle, Anne - In: Computational economics 42 (2013) 3, pp. 291-306
Persistent link: https://www.econbiz.de/10010189026
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Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data
Chen, Yi-Ting; Lai, Wan Ni; Sun, Edward W. - In: Computational economics 54 (2019) 2, pp. 809-844
Persistent link: https://www.econbiz.de/10012134380