WAVELET TRANSFORMS FOR THE STATISTICAL ANALYSIS OF RETURNS GENERATING STOCHASTIC PROCESSES

DOI10.1142/S0219024901001097zbMath1153.91782MaRDI QIDQ3523584

Enrico Capobianco

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

multiresolution analysiswavelet transformsGARCH modelsfinancial volatilitydata de-noising with wavelet shrinkage

Mathematics Subject Classification ID

Economic time series analysis (91B84) Numerical methods for wavelets (65T60)

Related Items (6)

De-noising option prices with the wavelet method ⋮ Multiresolution approximation for volatility processes ⋮ Wavelet-based option pricing: an empirical study ⋮ Time-varying quantile association regression model with applications to financial contagion and VaR ⋮ Computationally Efficient Atomic Representations for Nonstationary Stochastic Processes ⋮ Empirical volatility analysis: Feature detection and signal extraction with function dictionaries

Cites Work

• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Matching pursuits with time-frequency dictionaries
• Entropy-based algorithms for best basis selection

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