{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,18]],"date-time":"2025-12-18T13:53:46Z","timestamp":1766066026823},"reference-count":34,"publisher":"Springer Science and Business Media LLC","issue":"1","license":[{"start":{"date-parts":[[2010,10,30]],"date-time":"2010-10-30T00:00:00Z","timestamp":1288396800000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Stat Methods Appl"],"published-print":{"date-parts":[[2011,3]]},"DOI":"10.1007\/s10260-010-0153-9","type":"journal-article","created":{"date-parts":[[2010,11,3]],"date-time":"2010-11-03T16:19:19Z","timestamp":1288801159000},"page":"23-48","source":"Crossref","is-referenced-by-count":8,"title":["A wavelet Whittle estimator of generalized long-memory stochastic volatility"],"prefix":"10.1007","volume":"20","author":[{"given":"Alex","family":"Gonzaga","sequence":"first","affiliation":[]},{"given":"Michael","family":"Hauser","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2010,10,30]]},"reference":[{"key":"153_CR1","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1016\/S0927-5398(97)00004-2","volume":"4","author":"T Andersen","year":"1997","unstructured":"Andersen T, Bollerslev T (1997) Intraday periodicity and volatility persistence in financial markets. J Empirical Fin 4: 115\u2013158","journal-title":"J Empirical Fin"},{"key":"153_CR2","doi-asserted-by":"crossref","first-page":"529","DOI":"10.1111\/1468-0262.00418","volume":"71","author":"T Andersen","year":"2003","unstructured":"Andersen T, Bollerslev T, Diebold FX, Labys P (2003) Modeling and forecasting realized volatility. Econometrica 71: 529\u2013626","journal-title":"Econometrica"},{"key":"153_CR3","doi-asserted-by":"crossref","first-page":"131","DOI":"10.1016\/S0304-4076(03)00158-1","volume":"119","author":"J Arteche","year":"2004","unstructured":"Arteche J (2004) Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models. J Econometr 119: 131\u2013154","journal-title":"J Econometr"},{"issue":"1","key":"153_CR4","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/1467-9892.00170","volume":"21","author":"J Arteche","year":"2000","unstructured":"Arteche J, Robinson P (2000) Semiparametric inference in seasonal and cyclical long memory processes. J Time Ser Anal 21(1): 1\u201325","journal-title":"J Time Ser Anal"},{"key":"153_CR5","doi-asserted-by":"crossref","first-page":"251","DOI":"10.1080\/1350485032000050653","volume":"10","author":"L Bisaglia","year":"2003","unstructured":"Bisaglia L, Bordignon S, Lisi F (2003) k-factor garma models for intraday volatility forecasting. Appl Econ Lett 10: 251\u2013254","journal-title":"Appl Econ Lett"},{"key":"153_CR6","doi-asserted-by":"crossref","first-page":"325","DOI":"10.1016\/S0304-4076(97)00072-9","volume":"83","author":"FJ Breidt","year":"1998","unstructured":"Breidt FJ, Crato N, de Lima P (1998) On the detection and estimation of long memory in stochastic volatility. J Econometr 83: 325\u2013348","journal-title":"J Econometr"},{"key":"153_CR7","doi-asserted-by":"crossref","first-page":"151","DOI":"10.1016\/0304-4076(95)01736-4","volume":"73","author":"T Bollerslev","year":"1996","unstructured":"Bollerslev T, Mikkelsen HO (1996) Modeling and pricing long memory in stock market volatility. J Econometr 73: 151\u2013184","journal-title":"J Econometr"},{"key":"153_CR8","doi-asserted-by":"crossref","first-page":"2593","DOI":"10.1016\/j.jspi.2006.04.015","volume":"137","author":"NA Bockina","year":"2007","unstructured":"Bockina NA (2007) Wavelet goodness-of-fit test for dependent data. J Stat Plan Inference 137: 2593\u20132612","journal-title":"J Stat Plan Inference"},{"key":"153_CR9","doi-asserted-by":"crossref","first-page":"237","DOI":"10.1016\/0304-4076(95)01739-9","volume":"73","author":"C Chung","year":"1996","unstructured":"Chung C (1996) Estimating a generalized long-memory process. J Econometr 73: 237\u2013259","journal-title":"J Econometr"},{"key":"153_CR10","doi-asserted-by":"crossref","first-page":"1039","DOI":"10.1109\/TIT.2004.842575","volume":"51","author":"PF Craigmile","year":"2005","unstructured":"Craigmile PF, Percival DB (2005) Asymptotic decorrelation of between-scale wavelet coefficients. IEEE Trans Inf Theory 51: 1039\u20131048","journal-title":"IEEE Trans Inf Theory"},{"key":"153_CR11","doi-asserted-by":"crossref","DOI":"10.1137\/1.9781611970104","volume-title":"Ten lectures on wavelets","author":"I Daubechies","year":"1992","unstructured":"Daubechies I (1992) Ten lectures on wavelets. SIAM, Philadelphia"},{"key":"153_CR12","unstructured":"Deo R (1995) Tests for unit roots in multivariate autoregressive processes. Ph.D. Dissertation, Iowa State University"},{"key":"153_CR13","doi-asserted-by":"crossref","first-page":"686","DOI":"10.1017\/S0266466601174025","volume":"17","author":"R Deo","year":"2001","unstructured":"Deo R, Hurvich C (2001) On the log periodogram regression estimator of the memory parameter in long memory stochastic volatility models. Econometr Theory 17: 686\u2013710","journal-title":"Econometr Theory"},{"key":"153_CR14","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1016\/j.jeconom.2005.01.003","volume":"131","author":"R Deo","year":"2006","unstructured":"Deo R, Hurvich C, Lu Y (2006) Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment. J Econometr 131: 29\u201358","journal-title":"J Econometr"},{"key":"153_CR15","doi-asserted-by":"crossref","first-page":"516","DOI":"10.1109\/TIT.2002.807309","volume":"49","author":"Y Fan","year":"2003","unstructured":"Fan Y (2003) On the approximate decorrelation property of discrete wavelet transform for fractionally differenced process. IEEE Trans Inf Theory 49: 516\u2013521","journal-title":"IEEE Trans Inf Theory"},{"issue":"1","key":"153_CR16","doi-asserted-by":"crossref","first-page":"53","DOI":"10.1007\/BF02337754","volume":"35","author":"L Giraitis","year":"1995","unstructured":"Giraitis L, Leipus R (1995) A generalized fractionally differencing approach in long-memory modeling. Lithuanian Math J 35(1): 53\u201365","journal-title":"Lithuanian Math J"},{"key":"153_CR17","doi-asserted-by":"crossref","first-page":"987","DOI":"10.1214\/aos\/1013699989","volume":"29","author":"L Giraitis","year":"2001","unstructured":"Giraitis L, Hidalgo J, Robinson PM (2001) Gaussian estimation of parametric spectral density with unknown pole. Ann Stat 29: 987\u20131023","journal-title":"Ann Stat"},{"key":"153_CR18","doi-asserted-by":"crossref","first-page":"320","DOI":"10.1016\/j.dsp.2005.11.003","volume":"16","author":"A Gonzaga","year":"2006","unstructured":"Gonzaga A, Kawanaka A (2006) Asymptotic decorrelation of between-scale wavelet coefficients of generalized fractional process. Digit Signal Process 16: 320\u2013329","journal-title":"Digit Signal Process"},{"key":"153_CR19","volume-title":"Table of integrals, series, and products","author":"IS Gradshteyn","year":"2007","unstructured":"Gradshteyn IS, Ryzhik IM (2007) Table of integrals, series, and products. Academic Press, New York"},{"issue":"3","key":"153_CR20","doi-asserted-by":"crossref","first-page":"233","DOI":"10.1111\/j.1467-9892.1989.tb00026.x","volume":"10","author":"H Gray","year":"1989","unstructured":"Gray H, Zhang N, Woodward W (1989) On generalized fractional processes. J Time Ser Anal 10(3): 233\u2013257","journal-title":"J Time Ser Anal"},{"key":"153_CR21","first-page":"307","volume-title":"Forecasting volatility in financial markets","author":"A Harvey","year":"1998","unstructured":"Harvey A (1998) Long memory in stochastic volatility. In: Knight J, Satchell S (eds) Forecasting volatility in financial markets. Butterworth-Heineman, Oxford, pp 307\u2013320"},{"key":"153_CR22","doi-asserted-by":"crossref","DOI":"10.1002\/9780470316429","volume-title":"Multiple time series","author":"EJ Hannan","year":"1970","unstructured":"Hannan EJ (1970) Multiple time series. Wiley, New York"},{"issue":"1","key":"153_CR23","doi-asserted-by":"crossref","first-page":"130","DOI":"10.2307\/3212501","volume":"10","author":"EJ Hannan","year":"1973","unstructured":"Hannan EJ (1973) The asymptotic theory of linear time-series models. J Appl Probab 10(1): 130\u2013145","journal-title":"J Appl Probab"},{"issue":"3","key":"153_CR24","doi-asserted-by":"crossref","first-page":"445","DOI":"10.1093\/jjfinec\/nbg018","volume":"1","author":"C Hurvich","year":"2003","unstructured":"Hurvich C, Ray B (2003) The Local Whittle estimator of long-memory stochastic volatility. J Fin Econometr 1(3): 445\u2013470","journal-title":"J Fin Econometr"},{"issue":"6","key":"153_CR25","doi-asserted-by":"crossref","first-page":"895","DOI":"10.1111\/j.1467-9892.2004.00384.x","volume":"25","author":"M Jensen","year":"2004","unstructured":"Jensen M (2004) Semiparametric Bayesian inference of long-memory stochastic volatility models. J Time Ser Anal 25(6): 895\u2013922","journal-title":"J Time Ser Anal"},{"issue":"4","key":"153_CR26","doi-asserted-by":"crossref","first-page":"1925","DOI":"10.1214\/07-AOS527","volume":"36","author":"E Moulines","year":"2008","unstructured":"Moulines E, Roueff F, Taqqu MS (2008) A wavelet whittle estimator of the memory parameter of a nonstationary Gaussian time series. Ann Stat 36(4): 1925\u20131956","journal-title":"Ann Stat"},{"key":"153_CR27","doi-asserted-by":"crossref","first-page":"863","DOI":"10.1111\/j.1467-9892.2005.00447.x","volume":"26","author":"W Palma","year":"2005","unstructured":"Palma W, Chan NH (2005) Efficient estimations of seasonal long range dependent processes. J Time Ser Anal 26: 863\u2013892","journal-title":"J Time Ser Anal"},{"key":"153_CR28","first-page":"442","volume-title":"Nonlinear and nonstationary signal processing","author":"DB Percival","year":"2001","unstructured":"Percival DB, Sardy S, Davison AC (2001) Wavestrapping time series: adaptive wavelet-based bootstrapping. In: Fitzgerald WJ, Smith RL, Walden AT, Young PC (eds) Nonlinear and nonstationary signal processing. Cambridge University Press, Cambridge, pp 442\u2013470"},{"key":"153_CR29","doi-asserted-by":"crossref","DOI":"10.1017\/CBO9780511841040","volume-title":"Wavelet methods for time series analysis","author":"D Percival","year":"2000","unstructured":"Percival D, Walden A (2000) Wavelet methods for time series analysis. Cambridge University Press, Cambridge"},{"key":"153_CR30","doi-asserted-by":"crossref","first-page":"338","DOI":"10.1080\/01621459.1990.10476206","volume":"85","author":"S Porter-Hudak","year":"1990","unstructured":"Porter-Hudak S (1990) An application of seasonal fractionally differenced model to the monetary aggregates. JASA 85: 338\u2013344","journal-title":"JASA"},{"key":"153_CR31","doi-asserted-by":"crossref","first-page":"17","DOI":"10.1016\/j.ijforecast.2005.09.004","volume":"22","author":"LJ Soares","year":"2006","unstructured":"Soares LJ, Souza LR (2006) Forecasting electricity demand using generalized long memory. Int J Forecast 22: 17\u201328","journal-title":"Int J Forecast"},{"key":"153_CR32","doi-asserted-by":"crossref","first-page":"723","DOI":"10.1080\/15326349708807449","volume":"13","author":"M Taqqu","year":"1997","unstructured":"Taqqu M, Teverovsky V (1997) Robustness of Whittle-type estimators for time series with long-range dependence. Stochast Models 13: 723\u2013757","journal-title":"Stochast Models"},{"issue":"2","key":"153_CR33","doi-asserted-by":"crossref","first-page":"225","DOI":"10.1198\/004017004000000275","volume":"46","author":"B Whitcher","year":"2004","unstructured":"Whitcher B (2004) Wavelet-based estimation for seasonal long-memory. Technometrics 46(2): 225\u2013238","journal-title":"Technometrics"},{"issue":"4","key":"153_CR34","doi-asserted-by":"crossref","first-page":"485","DOI":"10.1111\/j.1467-9892.1998.00105.x","volume":"19","author":"W Woodward","year":"1998","unstructured":"Woodward W, Cheng Q, Gray H (1998) A k-factor GARMA Long-memory model. J Time Ser Anal 19(4): 485\u2013504","journal-title":"J Time Ser Anal"}],"container-title":["Statistical Methods &amp; Applications"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10260-010-0153-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10260-010-0153-9\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10260-010-0153-9","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,6,6]],"date-time":"2019-06-06T02:09:54Z","timestamp":1559786994000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10260-010-0153-9"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,10,30]]},"references-count":34,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2011,3]]}},"alternative-id":["153"],"URL":"https:\/\/doi.org\/10.1007\/s10260-010-0153-9","relation":{},"ISSN":["1618-2510","1613-981X"],"issn-type":[{"value":"1618-2510","type":"print"},{"value":"1613-981X","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,10,30]]}}}