Long-run wavelet-based correlation for financial time series

DOI10.1016/j.ejor.2018.05.028zbMath1403.91379OpenAlexW2804188989MaRDI QIDQ724160

Ramazan Gençay, John Cotter, Thomas Conlon

Publication date: 25 July 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.05.028

zbMATH Keywords

correlationwaveletdecision analysislong-runportfolio allocation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Numerical methods for wavelets (65T60)

Related Items (2)

Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ Pairs trading with wavelet transform

Uses Software

• wmtsa

Cites Work

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