Jump detection with wavelets for high-frequency financial time series

DOI10.1080/14697688.2013.830320zbMath1402.62260OpenAlexW2089409457MaRDI QIDQ5245902

Stephen Fagan, Ramazan Gençay, Yi Xue

Publication date: 16 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.830320

zbMATH Keywords

waveletsjump detectionpositive jumpsnegative jumpsdirectional jumps

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

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Cites Work

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