Long-run wavelet-based correlation for financial time series
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Publication:724160
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
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)
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Cites Work
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