Differentiating intraday seasonalities through wavelet multi-scaling

DOI10.1016/S0378-4371(00)00463-5zbMath0971.91504OpenAlexW2102189306MaRDI QIDQ88369

Ramazan Gençay, Faruk Selçuk, Brandon Whitcher, Ramazan Gençay, Brandon Whitcher, Faruk Selçuk

Publication date: January 2001

Published in: Physica A: Statistical Mechanics and its Applications, Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(00)00463-5

zbMATH Keywords

arbitrary length series decompositionnon-decimated discrete wavelet transformtranslation invariant filtering

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (15)

A WAVELET METHOD COUPLED WITH QUASI-SELF-SIMILAR STOCHASTIC PROCESSES FOR TIME SERIES APPROXIMATION ⋮ An unbiased autoregressive conditional intraday seasonal variance filtering process ⋮ Analysis of shares frequency components on daily value-at-risk in emerging and developed markets ⋮ De-noising option prices with the wavelet method ⋮ Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets ⋮ Long-memory in high-frequency exchange rate volatility under temporal aggregation ⋮ Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the euro area ⋮ Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ CYCLICAL BEHAVIOR OF PRICES IN THE G7 COUNTRIES THROUGH WAVELET ANALYSIS ⋮ Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method ⋮ Systematic risk and timescales ⋮ Wavelet-based option pricing: an empirical study ⋮ ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS ⋮ shapeR

Uses Software

• wavemulcor
• wmtsa

Cites Work

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• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• A theory for multiresolution signal decomposition: the wavelet representation
• Ten Lectures on Wavelets
• Analysis of Subtidal Coastal Sea Level Fluctuations Using Wavelets
• The Distribution of Realized Exchange Rate Volatility
• On estimation of the wavelet variance

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