Multiresolution approximation for volatility processes
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- WAVELET TRANSFORMS FOR THE STATISTICAL ANALYSIS OF RETURNS GENERATING STOCHASTIC PROCESSES
- \(L_p\) estimation of the diffusion coefficient
Cited in
(15)- Empirical volatility analysis: Feature detection and signal extraction with function dictionaries
- Recursive computation of piecewise constant volatilities
- Statistical analysis of financial time series under the assumption of local stationarity
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- Multiscale analysis of stock index return volatility
- Multi-resolution properties of semi-parametric volatility models
- Dimensionality reduction and greedy learning of convoluted stochastic dynamics
- Multiresolution analysis of long time series with application to finance.
- EXPLORING MULTI-RESOLUTION AND MULTI-SCALING VOLATILITY FEATURES
- Cascade systems de-noising and greedy calibrated approximation
- A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of southeast Europe
- WAVELET TRANSFORMS FOR THE STATISTICAL ANALYSIS OF RETURNS GENERATING STOCHASTIC PROCESSES
- Differentiating intraday seasonalities through wavelet multi-scaling
- A wavelet method coupled with quasi-self-similar stochastic processes for time series approximation
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
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