Detection of jumps by wavelets in a heteroscedastic autoregressive model

Statistics and Probability Letters

Volumn 52, Issue 4, 2001, Pages 365-372

  Wong, Heung ^a   Ip, Waicheung ^a   Li, Yuan ^b  

^a HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^b GUANGZHOU UNIVERSITY   (China)

Author keywords

Autoregressive model; Heteroscedasticity; Jumps; Wavelets

Indexed keywords

EID: 0042867391     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(00)00218-2     Document Type: Article

References (10)

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