Analysis and short-time extrapolation of stock market indexes through projection onto discrete wavelet subspaces

DOI10.1016/j.nonrwa.2009.11.009zbMath1195.91168OpenAlexW2066227111MaRDI QIDQ984604

Laurent Gosse

Publication date: 20 July 2010

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2009.11.009

zbMATH Keywords

multi-resolution analysiswavelet decompositionempirical financescale-limited extrapolation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (5)

Approximation based on orthogonal and almost orthogonal functions ⋮ Effective band-limited extrapolation relying on Slepian series and \(\ell^1\) regularization ⋮ A Donoho-Stark criterion for stable signal recovery in discrete wavelet subspaces ⋮ The X-ray transform projection of 3D mother wavelet function ⋮ Estimates for the SVD of the truncated Fourier transform on \(L^2(\cosh (B|\cdot |))\) and stable analytic continuation

Uses Software

• wmtsa

Cites Work

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