Cross-correlating wavelet coefficients with applications to high-frequency financial time series

DOI10.1080/02664763.2011.649716OpenAlexW2053632179MaRDI QIDQ5127043

Christian M. Hafner

Publication date: 21 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2011.649716

zbMATH Keywords

wavelet analysishigh-frequency datamarket microstructurefinancial transactionsAllan covariance

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Wavelet fuzzy hybrid model for physico-financial signals ⋮ Wavelet-Based Methods for High-Frequency Lead-Lag Analysis

Cites Work

• Wavelet analysis of commodity price behavior
• Wavelets, approximation, and statistical applications
• TESTING FOR SERIAL CORRELATION OF UNKNOWN FORM USING WAVELET METHODS
• Wavelets in Economics and Finance: Past and Future
• Systematic risk and timescales
• Wavelets in time-series analysis
• Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
• Durations, volume and the prediction of financial returns in transaction time
• Modelling financial time series using multifractal random walks
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