Wavelet Transforms and Commodity Prices

DOI10.2202/1558-3708.1170zbMath1081.91515OpenAlexW2003780715MaRDI QIDQ3368376

Rosemary Rossiter, Jeff Connor

Publication date: 27 January 2006

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

Full work available at URL: https://doi.org/10.2202/1558-3708.1170

zbMATH Keywords

wavelet variancescale analysiswavelet covariancenon-decimated wavelet transform

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Causal structure among US corn futures and regional cash prices in the time and frequency domain ⋮ De-noising option prices with the wavelet method ⋮ Improving model performance with the integrated wavelet denoising method ⋮ Wavelet-based option pricing: an empirical study ⋮ Revealing the implied risk-neutral MGF from options: the wavelet method

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