0478480 20240103214544.420170925235959.9 85021440941 000411276100002 10.1515/snde-2016-0101 22 s. P cav_un_epca*02557881081-182621 long memory wavelets whittle cav_un_auth*0344060 Kraicová Lucie Ekonometrie Department of Econometrics E E UTIA-B CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0242028 Baruník Jozef Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2017/E/barunik-0478480.pdf cav_un_auth*0292677 GA13-32263S GA ČR cav_un_auth*0308905 612955 EC This work studies wavelet-based Whittle estimator of the fractionally integrated exponential gen- eralized autoregressive conditional heteroscedasticity (FIEGARCH) model often used for modeling long memory in volatility of financial assets. The newly proposed estimator approximates the spectral density using wavelet transform, which makes it more robust to certain types of irregularities in data. Based on an extensive Monte Carlo study, both behavior of the proposed estimator and its relative performance with respect to traditional estimators are assessed. In addition, we study properties of the estimators in presence of jumps, which brings interesting discussion. We find that wavelet-based estimator may become an attrac- tive robust and fast alternative to the traditional methods of estimation. In particular, a localized version of our estimator becomes attractive in small samples. AH 50000 50200 50202 2018 2 RVO:67985556 http://hdl.handle.net/11104/0274595 1 cav_un_auth*0308308 Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague IES FSV UK CZ S 20160101 3+4 Article Economics|Social Sciences Mathematical Methods 3+4 Article Economics|Social Sciences Mathematical Methods 3+4 Article Economics|Social Sciences Mathematical Methods ECONOMICS|SOCIALSCIENCES.MATHEMATICALMETHODS 0.734 0.115 11.1 0.00064 0.302 401 0.668 0.823 26 Q3 18.997 30.8 Q4 Q2 0.35 Q3 34.136 2017 85021440941 SCOPUS PUBMED 000411276100002 WOS cav_un_epca*0255788 Studies in Nonlinear Dynamics and Econometrics 1081-1826 1558-3708 Roč. 21 č. 3 2017