Scaling properties of foreign exchange volatility
type: Item
instance of: scholarly article
title: Scaling properties of foreign exchange volatility
zbMATH Open document ID: 0971.91511
DOI: 10.1016/S0378-4371(00)00456-8
published in: Physica A
publication date: 2000-12-05T00:00:00Z
Mathematics Subject Classification ID: 91B60
zbMATH DE Number: 1540984
zbMATH Keywords: wavelet multi-scaling approach
zbMATH Keywords: time series variance
zbMATH Keywords: discrete wavelet transformation
Wikidata QID: Q123511532
author: Ramazan Gençay
author: Faruk Selçuk
author: Brandon Whitcher
describes a project that uses: wmtsa
MaRDI profile type: Publication
cites work: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
cites work: From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
cites work: The Distribution of Realized Exchange Rate Volatility
cites work: Apparent scaling
cites work: Multiscale behaviour of volatility autocorrelations in a financial market
cites work: Common Persistence in Conditional Variances
cites work: Ten Lectures on Wavelets
cites work: Long-range Dependence: Revisiting Aggregation with Wavelets
cites work: Q4488348
cites work: On estimation of the wavelet variance
cites work: Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
cites work: Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes
cites work: Fractional Brownian Motions, Fractional Noises and Applications
cites work: AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
cites work: Fractional differencing
full work available at URL: s0378-4371(00)00456-8
OpenAlex ID: W2068585979
description: scientific article; zbMATH DE number 1540984