Multiscale analysis of stock index return volatility

DOI10.1023/B:CSEM.0000022834.86489.E5zbMath1066.91079OpenAlexW2067438853MaRDI QIDQ1827431

Enrico Capobianco

Publication date: 6 August 2004

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:csem.0000022834.86489.e5

zbMATH Keywords

function approximationsignal decompositionmatching pursuit and best basis optimization algorithmswavelet and cosine packets

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Economic time series analysis (91B84)

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