WAVELET-BASED ESTIMATION OF LONG-MEMORY PARAMETER IN STOCHASTIC VOLATILITY MODELS USING A ROBUST LOG-PERIODOGRAM

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Authors: M. N’DAAM, T. A. KPANZOU, E. KATCHEKPELE

Keywords: Long-memory parameter estimation, wavelet-based methods, logperiodogram regression, simulation

DOI:  https://doi.org/10.32010/j.bmj.2025.14

 

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