Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets-Reference-Cited by-同舟云学术

Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets

Published:2012-12-13 Issue:3 Volume:42 Page:291-306
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Boubaker Heni,Péguin-Feissolle Anne

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1007/s10614-012-9355-6.pdf

Reference26 articles.

1. Abadir, K. M., Distaso, W., & Giraitis, L. (2007). Nonstationarity-extended local Whittle estimation. Journal of Econometrics, 141(2), 1353–1384.

2. Belkacem, L., & Boubaker, H. (2008). Modelling exchange rate dynamics with generalized long memory processes: A wavelet-based approach. Euro-Mediterranean Economics and Finance Review, 3(4), 5–32.

3. Boubaker, H., & Boutahar, M. (2011). A wavelet-based approach for modelling exchange rates. Statistical Methods and Applications, 20(2), 201–220.

4. Daubechies, I. (1992). Ten lectures on wavelets, Vol. 61 of CBMS-NSF regional conference series in applied mathematics. Philadelphia: Society for Industrial and Applied Mathematics (SIAM).

5. Doukhan, P., Oppenheim, G., & Taqqu, M. S. (2003). Theory and applications of long-range dependence. Boston: Birkhauser.

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