Empirical volatility analysis: Feature detection and signal extraction with function dictionaries

DOI10.1016/S0378-4371(02)01369-9zbMath1008.91040MaRDI QIDQ1855542

Enrico Capobianco

Publication date: 5 February 2003

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

zbMATH Keywords

wavelet transformsadaptive signal-processingfinancial volatility processes

Mathematics Subject Classification ID

Related Items (1)

Computationally Efficient Atomic Representations for Nonstationary Stochastic Processes

Cites Work

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