Multiscale analysis of stock index return volatility

DOI10.1023/B:CSEM.0000022834.86489.E5MaRDI QIDQ1827431zbMATH OpenOpenAlexFDO

Authors Enrico Capobianco

Publication date 6 August 2004

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:csem.0000022834.86489.e5

zbMATH Keywords

function approximationmatching pursuit and best basis optimization algorithmssignal decompositionwavelet and cosine packets

Mathematics Subject Classification ID

Economic time series analysis (91B84) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(22)

• Atomic decomposition of financial data
• A new estimation for informed trading based on SSNF method
• Multiresolution analysis of S\&P500 time series
• Empirical volatility analysis: Feature detection and signal extraction with function dictionaries
• Statistical analysis of financial volatility by wavelet shrinkage
• Improving model performance with the integrated wavelet denoising method
• Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
• WAVELET TRANSFORMS FOR THE STATISTICAL ANALYSIS OF RETURNS GENERATING STOCHASTIC PROCESSES
• Cascade systems de-noising and greedy calibrated approximation
• A new wavelet-based denoising algorithm for high-frequency financial data mining
• Functional approximation and estimation for latent variable systems
• Sparse modeling of volatile financial time series via low-dimensional patterns over learned dictionaries
• Multiresolution approximation for volatility processes
• ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
• Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility
• Cross-correlating wavelet coefficients with applications to high-frequency financial time series
• Nonlinear functional approximation of heterogeneous dynamics
• Multi-resolution properties of semi-parametric volatility models
• EXPLORING MULTI-RESOLUTION AND MULTI-SCALING VOLATILITY FEATURES
• FUNCTIONAL APPROXIMATION IN MULTISCALE COMPLEX SYSTEMS
• A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis
• Wavelet methods in (financial) time-series processing

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