Asymptotic Decorrelation of Discrete Wavelet Packet Transform of Generalized Long-memory Stochastic Volatility
We derive the asymptotic properties of discrete wavelet packet transform (DWPT) of generalized long-memory stochastic volatility (GLMSV) model, a relatively general model of stochastic volatility that accounts for persistent (or long-memory) and seasonal (or cyclic) behavior at several frequencies....
| Vydáno v: | Philippine Statistician Vol. 66, no. 2 (2017), 1-14 |
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| Hlavní autor: | |
| Médium: | Článek |
| Jazyk: | English |
| Vydáno: |
2017
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| Témata: |