{"id":"https://openalex.org/W2075576847","doi":"https://doi.org/10.1007/s10260-010-0153-9","title":"A wavelet Whittle estimator of generalized long-memory stochastic volatility","display_name":"A wavelet Whittle estimator of generalized long-memory stochastic volatility","publication_year":2010,"publication_date":"2010-10-30","ids":{"openalex":"https://openalex.org/W2075576847","doi":"https://doi.org/10.1007/s10260-010-0153-9","mag":"2075576847"},"language":"en","primary_location":{"id":"doi:10.1007/s10260-010-0153-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10260-010-0153-9","pdf_url":null,"source":{"id":"https://openalex.org/S155615518","display_name":"Statistical Methods & Applications","issn_l":"1613-981X","issn":["1613-981X","1618-2510"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Statistical Methods &amp; Applications","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5014450684","display_name":"Alex Gonzaga","orcid":"https://orcid.org/0000-0002-7881-4755"},"institutions":[{"id":"https://openalex.org/I5791819","display_name":"University of the Philippines Manila","ror":"https://ror.org/01rrczv41","country_code":"PH","type":"education","lineage":["https://openalex.org/I103911934","https://openalex.org/I5791819"]},{"id":"https://openalex.org/I102248843","display_name":"Vienna University of Economics and Business","ror":"https://ror.org/03yn8s215","country_code":"AT","type":"education","lineage":["https://openalex.org/I102248843"]}],"countries":["AT","PH"],"is_corresponding":true,"raw_author_name":"Alex Gonzaga","raw_affiliation_strings":["Department of Physical Sciences and Mathematics, University of the Philippines, Padre Faura St., Manila, Philippines","Department of Statistics and Mathematics, Wirschaftsuniversitat Wien, Augasse 2-6, 1090, Vienna, Austria"],"affiliations":[{"raw_affiliation_string":"Department of Physical Sciences and Mathematics, University of the Philippines, Padre Faura St., Manila, Philippines","institution_ids":["https://openalex.org/I5791819"]},{"raw_affiliation_string":"Department of Statistics and Mathematics, Wirschaftsuniversitat Wien, Augasse 2-6, 1090, Vienna, Austria","institution_ids":["https://openalex.org/I102248843"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5061016246","display_name":"Michael A. Hauser","orcid":"https://orcid.org/0000-0003-2667-5420"},"institutions":[{"id":"https://openalex.org/I102248843","display_name":"Vienna University of Economics and Business","ror":"https://ror.org/03yn8s215","country_code":"AT","type":"education","lineage":["https://openalex.org/I102248843"]}],"countries":["AT"],"is_corresponding":false,"raw_author_name":"Michael Hauser","raw_affiliation_strings":["Department of Statistics and Mathematics, Wirschaftsuniversitat Wien, Augasse 2-6, 1090, Vienna, Austria"],"affiliations":[{"raw_affiliation_string":"Department of Statistics and Mathematics, Wirschaftsuniversitat Wien, Augasse 2-6, 1090, Vienna, Austria","institution_ids":["https://openalex.org/I102248843"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5014450684"],"corresponding_institution_ids":["https://openalex.org/I102248843","https://openalex.org/I5791819"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":0.3847,"has_fulltext":false,"cited_by_count":10,"citation_normalized_percentile":{"value":0.72383404,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"20","issue":"1","first_page":"23","last_page":"48"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9936000108718872,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.7080320119857788},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6699557304382324},{"id":"https://openalex.org/keywords/wavelet","display_name":"Wavelet","score":0.6046052575111389},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5917018055915833},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5857258439064026},{"id":"https://openalex.org/keywords/long-memory","display_name":"Long memory","score":0.5024027824401855},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4846130311489105},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4570358991622925},{"id":"https://openalex.org/keywords/generalization","display_name":"Generalization","score":0.45543986558914185},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3378869891166687},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3007335662841797},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.29180967807769775},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.11374297738075256},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.058711498975753784}],"concepts":[{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.7080320119857788},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6699557304382324},{"id":"https://openalex.org/C47432892","wikidata":"https://www.wikidata.org/wiki/Q831390","display_name":"Wavelet","level":2,"score":0.6046052575111389},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5917018055915833},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5857258439064026},{"id":"https://openalex.org/C2986394398","wikidata":"https://www.wikidata.org/wiki/Q1805477","display_name":"Long memory","level":3,"score":0.5024027824401855},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4846130311489105},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4570358991622925},{"id":"https://openalex.org/C177148314","wikidata":"https://www.wikidata.org/wiki/Q170084","display_name":"Generalization","level":2,"score":0.45543986558914185},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3378869891166687},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3007335662841797},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.29180967807769775},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.11374297738075256},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.058711498975753784}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1007/s10260-010-0153-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10260-010-0153-9","pdf_url":null,"source":{"id":"https://openalex.org/S155615518","display_name":"Statistical Methods & Applications","issn_l":"1613-981X","issn":["1613-981X","1618-2510"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Statistical Methods &amp; Applications","raw_type":"journal-article"},{"id":"pmh:oai:research.wu.ac.at:publications/498fd10d-a413-4f15-a839-2ca4c43f2ac2","is_oa":false,"landing_page_url":"https://research.wu.ac.at/de/publications/498fd10d-a413-4f15-a839-2ca4c43f2ac2","pdf_url":null,"source":{"id":"https://openalex.org/S7407055123","display_name":"WU Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Gonzaga, A & Hauser, M 2011, 'A wavelet Whittle estimator of generalized long-memory stochastic volatility', Statistical Methods and Applications, vol. 20, pp. 23 - 48.","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"pmh:oai:RePEc:spr:stmapp:v:20:y:2011:i:1:p:23-48","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s10260-010-0153-9","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:research.wu.ac.at:openaire_cris_publications/6c3c3565-1d8c-451e-a12d-b39b9c4eb269","is_oa":false,"landing_page_url":"https://research.wu.ac.at/de/publications/6c3c3565-1d8c-451e-a12d-b39b9c4eb269","pdf_url":null,"source":{"id":"https://openalex.org/S7407055123","display_name":"WU Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Gonzaga, A & Hauser, M 2009 'A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility'.","raw_type":"info:eu-repo/semantics/workingPaper"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":42,"referenced_works":["https://openalex.org/W821027608","https://openalex.org/W1582484699","https://openalex.org/W1597511115","https://openalex.org/W1795554716","https://openalex.org/W1875153640","https://openalex.org/W1969917201","https://openalex.org/W1972784294","https://openalex.org/W1977249467","https://openalex.org/W1994099724","https://openalex.org/W2005151667","https://openalex.org/W2008582516","https://openalex.org/W2010536381","https://openalex.org/W2011586511","https://openalex.org/W2025157128","https://openalex.org/W2034161641","https://openalex.org/W2059728786","https://openalex.org/W2062024414","https://openalex.org/W2062053579","https://openalex.org/W2066978790","https://openalex.org/W2069319670","https://openalex.org/W2076250102","https://openalex.org/W2081475269","https://openalex.org/W2084537820","https://openalex.org/W2091822727","https://openalex.org/W2092416301","https://openalex.org/W2134787383","https://openalex.org/W2139395482","https://openalex.org/W2146399390","https://openalex.org/W2162241563","https://openalex.org/W2549568718","https://openalex.org/W2568183739","https://openalex.org/W3100938107","https://openalex.org/W3113221786","https://openalex.org/W3121364726","https://openalex.org/W3121785199","https://openalex.org/W3123053509","https://openalex.org/W3124179420","https://openalex.org/W3125863044","https://openalex.org/W4206469534","https://openalex.org/W4230941884","https://openalex.org/W4255272544","https://openalex.org/W4298352105"],"related_works":["https://openalex.org/W3212291315","https://openalex.org/W46605827","https://openalex.org/W2118743060","https://openalex.org/W3124066299","https://openalex.org/W1536108390","https://openalex.org/W1966095881","https://openalex.org/W2797731651","https://openalex.org/W2127157766","https://openalex.org/W3126038238","https://openalex.org/W2772107543"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}
