Wavelet transform based multifractal formalism in outlier detection and localisation for financial time series

DOI10.1016/S0378-4371(02)00552-6zbMath0995.62081OpenAlexW2147275227MaRDI QIDQ1599009

Arno P. J. M. Siebes, Zbigniew R. Struzik

Publication date: 4 June 2002

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)00552-6

zbMATH Keywords

stochastic processesmultifractal spectrumscaling behaviour

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Outlier detection using default reasoning, Finite-size effect and the components of multifractality in financial volatility, Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method, Forecasting container throughput of Qingdao Port with a hybrid model

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