Research Center of International Financial and Risk Management, School of Finance and Statistics, East China Normal University, Department of Mathematics, East China
Normal University

Stationary long memory process has been
widely studied in the literature. In this article, we considered the
locally stationary long memory process with time-varying memory
parameter. A new wavelet-based algorithm was developed using
log-linear relationship between the wavelet coefficient variance and
the scaling parameter. The consistency and the finite sample
behavior of the estimator have also been studied, which provide a
good reference for the practitioner and researchers. The new
algorithm has also been applied to the YEN/USD exchange rate series,
which leads to some interesting results.