A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES (Q3632190): Difference between revisions

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Latest revision as of 12:18, 30 July 2024

scientific article
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A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES
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    A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES (English)
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    23 June 2009
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    ATM implied volatilities
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    nondecimated wavelet packet transform
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    best basis
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    cross-correlation
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