A wavelet based approach to measure and manage contagion at different time scales

DOI10.1016/J.PHYSA.2015.05.053zbMath1400.91674OpenAlexW264690675MaRDI QIDQ1618627

Theo Berger

Publication date: 13 November 2018

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

Full work available at URL: https://doi.org/10.1016/j.physa.2015.05.053

zbMATH Keywords

copulaswavelet decompositionportfolio managementcontagion

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (1)

Time-localized wavelet multiple regression and correlation

Uses Software

• wmtsa

Cites Work

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• A wavelet-based approach to test for financial market contagion
• Wavelets in Economics and Finance: Past and Future
• A theory for multiresolution signal decomposition: the wavelet representation
• Nonlinear Wavelet Shrinkage with Bayes Rules and Bayes Factors
• Ten Lectures on Wavelets
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series

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