Multiresolution analysis of S\&P500 time series
DOI10.1007/S10479-016-2215-3zbMATH Open1404.62087OpenAlexW2368473301MaRDI QIDQ1703550FDOQ1703550
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
Recommendations
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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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
- Intraday forecasts of a volatility index: functional time series methods with dynamic updating
- Long-range dependence and rational Gaussian noise
- Mathematical methods for modelling price fluctuations of financial times series
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