Multiresolution analysis of S\&P500 time series

DOI10.1007/S10479-016-2215-3MaRDI QIDQ1703550zbMATH OpenOpenAlexFDO

Authors Deniz Kenan Kılıç, Ö. Uğur

Publication date 2 March 2018

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL http://etd.lib.metu.edu.tr/upload/12618854/index.pdf

zbMATH Keywords

waveletstime series analysisfrequency domain analysisstatistical analysismultiresolution analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60)

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Cites work

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• Multiscale analysis of stock index return volatility
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Cited in

(10)

• Dynamical analysis of S\& P500 momentum
• MODWT based time scale decomposition analysis of BSE and NSE indexes financial time series
• Systematic risk in the biopharmaceutical sector: a multiscale approach
• Multiresolution analysis of long time series with application to finance.
• An energy-based measure for long-run horizon risk quantification
• Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries
• Hierarchical analysis of Chinese financial market based on manifold structure
• Mathematical methods for modelling price fluctuations of financial times series
• Intraday forecasts of a volatility index: functional time series methods with dynamic updating
• Long-range dependence and rational Gaussian noise

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Uses Software

• wmtsa

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