Scaling properties of foreign exchange volatility
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Publication:1588872
DOI10.1016/S0378-4371(00)00456-8zbMATH Open0971.91511OpenAlexW2068585979WikidataQ123511532 ScholiaQ123511532MaRDI QIDQ1588872FDOQ1588872
Authors: Ramazan Gençay, Faruk Selçuk, Brandon Whitcher 
Publication date: 5 December 2000
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0378-4371(00)00456-8
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Cites Work
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- Multiscale behaviour of volatility autocorrelations in a financial market
Cited In (25)
- Gold price dynamics and the role of uncertainty
- Characteristic time scales in the American dollar-Mexican peso exchange currency market
- Systematic risk and timescales
- Wavelet-based multi-resolution GARCH model for financial spillover effects
- Anomalous volatility scaling in high frequency financial data
- A wavelet-based approach to test for financial market contagion
- Structural changes in volatility of foreign exchange rates after the Asian financial crisis
- International finance, Lévy distributions, and the econophysics of exchange rates
- Multi-scaling in finance
- Wavelet-based option pricing: an empirical study
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- Integrating spectral clustering with wavelet based kernel partial least square regressions for financial modeling and forecasting
- Scaling laws: a viable alternative to value at risk?
- The distribution of realized exchange rate volatility
- Empirical scaling laws and the aggregation of non-stationary data
- The Distribution of Realized Exchange Rate Volatility
- Overlaying time scales in financial volatility data
- Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries
- Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes
- De-noising option prices with the wavelet method
- Wavelet analysis of stock returns and aggregate economic activity
- Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method
- A wavelet method coupled with quasi-self-similar stochastic processes for time series approximation
- Scaling, self-similarity and multifractality in FX markets
- Nonlinearities in the exchange rates returns and volatility
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