Scaling properties of foreign exchange volatility

DOI10.1016/S0378-4371(00)00456-8zbMath0971.91511OpenAlexW2068585979WikidataQ123511532 ScholiaQ123511532MaRDI QIDQ1588872

Brandon Whitcher, Faruk Selçuk, Ramazan Gençay

Publication date: 5 December 2000

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(00)00456-8

zbMATH Keywords

discrete wavelet transformationtime series variancewavelet multi-scaling approach

Mathematics Subject Classification ID

Trade models (91B60)

Related Items (18)

Scaling, self-similarity and multifractality in FX markets ⋮ Anomalous volatility scaling in high frequency financial data ⋮ A WAVELET METHOD COUPLED WITH QUASI-SELF-SIMILAR STOCHASTIC PROCESSES FOR TIME SERIES APPROXIMATION ⋮ Empirical scaling laws and the aggregation of non-stationary data ⋮ De-noising option prices with the wavelet method ⋮ A wavelet-based approach to test for financial market contagion ⋮ Integrating spectral clustering with wavelet based kernel partial least square regressions for financial modeling and forecasting ⋮ Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes ⋮ Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method ⋮ Systematic risk and timescales ⋮ Wavelet-based option pricing: an empirical study ⋮ International finance, Lévy distributions, and the econophysics of exchange rates ⋮ Wavelet-based multi-resolution GARCH model for financial spillover effects ⋮ Wavelet analysis of stock returns and aggregate economic activity ⋮ Gold price dynamics and the role of uncertainty ⋮ Multi-scaling in finance

Uses Software

• wmtsa

Cites Work

• Unnamed Item
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Multiscale behaviour of volatility autocorrelations in a financial market
• Long-range Dependence: Revisiting Aggregation with Wavelets
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Ten Lectures on Wavelets
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
• The Distribution of Realized Exchange Rate Volatility
• On estimation of the wavelet variance
• Common Persistence in Conditional Variances
• Fractional Brownian Motions, Fractional Noises and Applications
• Apparent scaling

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