A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES

DOI10.1142/S0219024909005130zbMath1185.91187OpenAlexW2162593749MaRDI QIDQ3632190

Alessandro Cardinali

Publication date: 23 June 2009

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

Full work available at URL: https://doi.org/10.1142/s0219024909005130

zbMATH Keywords

cross-correlationbest basisATM implied volatilitiesnondecimated wavelet packet transform

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Practical powerful wavelet packet tests for second-order stationarity ⋮ Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting ⋮ Wavelet-Based Methods for High-Frequency Lead-Lag Analysis

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