Wavelet-based detection of outliers in financial time series

DOI10.1016/j.csda.2009.12.010zbMath1284.91585OpenAlexW2094882603MaRDI QIDQ2445711

Helena Veiga, Aurea Grané

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2009.12.010

zbMATH Keywords

waveletsoutliersprediction intervalsvolatility modelsoutlier patches

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

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Uses Software

• FinTS
• wmtsa

Cites Work

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