Multiresolution approximation for volatility processes
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Publication:4646772
DOI10.1088/1469-7688/2/2/301zbMath1405.91690OpenAlexW2049770593MaRDI QIDQ4646772
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/2/2/301
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60)
Related Items (3)
Statistical analysis of financial time series under the assumption of local stationarity ⋮ Dimensionality reduction and greedy learning of convoluted stochastic dynamics ⋮ Empirical volatility analysis: Feature detection and signal extraction with function dictionaries
Uses Software
Cites Work
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