Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes

DOI10.1515/snde-2014-0102OpenAlexW2277068363MaRDI QIDQ2691644

Alin Achim, George Tzagkarakis, Thomas Dionysopoulos

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2014-0102

zbMATH Keywords

wavelet decompositionrecurrence quantification analysisalpha-stable distributionsMAP denoisingswitching volatility regimes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• STABLE
• K2

Cites Work

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