A wavelet based approach to measure and manage contagion at different time scales
type: Item
instance of: scholarly article
title: A wavelet based approach to measure and manage contagion at different time scales
zbMATH Open document ID: 1400.91674
author: Theo Berger
published in: Physica A
publication date: 2018-11-13T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6977301
zbMATH Keywords: wavelet decomposition
zbMATH Keywords: copulas
zbMATH Keywords: contagion
zbMATH Keywords: portfolio management
describes a project that uses: wmtsa
MaRDI profile type: Publication
full work available at URL: j.physa.2015.05.053
OpenAlex ID: W264690675
cites work: A wavelet-based approach to test for financial market contagion
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cites work: Ten Lectures on Wavelets
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cites work: Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
cites work: Wavelets in Economics and Finance: Past and Future
cites work: Q3281461
cites work: Q4382161
DOI: 10.1016/J.PHYSA.2015.05.053
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description: scientific article; zbMATH DE number 6977301