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A Haar-Fisz technique for locally stationary volatility estimation |
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| Authors: | Fryzlewicz, Piotr Sapatinas, Theofanis Rao, Suhasini Subba |
| Affiliation: | 1 Department of Mathematics, University of Bristol, University Walk, Bristol BS8 1TW, U.K. p.z.fryzlewicz{at}bris.ac.uk, 2 Department of Mathematics and Statistics, University of Cyprus, P.O. Box 20537, CY 1678 Nicosia, Cyprus. t.sapatinas{at}ucy.ac.cy, 3 Department of Mathematics, University of Bristol, University Walk, Bristol BS8 1TW, U.K. s.subbarao{at}bris.ac.uk |
| Abstract: | |
| Keywords: | GARCH model Haar wavelet Locally stationary model Variance-stabilising transform Wavelet thresholding. |
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