WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS

DOI10.1142/S0219024909005233zbMath1175.91196OpenAlexW2001395117MaRDI QIDQ3637883

Anouar Ben Mabrouk, Samir Ben Ammou, Hedi Kortas

Publication date: 14 July 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/s0219024909005233

zbMATH Keywords

waveletsstock marketlong memoryvolatility

Mathematics Subject Classification ID

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

Related Items (2)

A WAVELET METHOD COUPLED WITH QUASI-SELF-SIMILAR STOCHASTIC PROCESSES FOR TIME SERIES APPROXIMATION ⋮ Wavelet fuzzy hybrid model for physico-financial signals

Uses Software

• longmemo

Cites Work

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