Jump detection in high-frequency financial data using wavelets
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Cites work
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Cited in
(9)- Wavelet-based detection of outliers in financial time series
- High-frequency financial data calendar effects' wavelet neural network analysis
- scientific article; zbMATH DE number 884937 (Why is no real title available?)
- Jump detection with wavelets for high-frequency financial time series
- scientific article; zbMATH DE number 2227360 (Why is no real title available?)
- Inference of binary regime models with jump discontinuities
- Taming impulsive high-frequency data using optimal sampling periods
- Identifying jumps in high-frequency time series by wavelets
- Estimating the degree of activity of jumps in high frequency data
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