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

DOI10.1016/j.nonrwa.2009.11.009zbMath1195.91168MaRDI 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 analysis; wavelet decomposition; empirical finance; scale-limited extrapolation

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

94A12: Signal theory (characterization, reconstruction, filtering, etc.)

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

Effective band-limited extrapolation relying on Slepian series and \(\ell^1\) regularization, A Donoho-Stark criterion for stable signal recovery in discrete wavelet subspaces, Approximation based on orthogonal and almost orthogonal functions, The X-ray transform projection of 3D mother wavelet function

Uses Software

• wmtsa

Cites Work

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