Multiresolution analysis of S\&P500 time series

DOI10.1007/s10479-016-2215-3zbMath1404.62087OpenAlexW2368473301MaRDI QIDQ1703550

Ömür Uğur, Deniz Kenan Kılıç

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

waveletsmultiresolution analysistime series analysisstatistical analysisfrequency domain 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)

Related Items (5)

Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries ⋮ An energy-based measure for long-run horizon risk quantification ⋮ Hierarchical analysis of Chinese financial market based on manifold structure ⋮ Systematic risk in the biopharmaceutical sector: a multiscale approach ⋮ Intraday forecasts of a volatility index: functional time series methods with dynamic updating

Uses Software

• wmtsa

Cites Work

• Initial transient detection in simulations using the second-order cumulant spectrum
• Multiscale analysis of stock index return volatility
• Wavelet-based prediction of oil prices
• The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses
• A theory for multiresolution signal decomposition: the wavelet representation
• Modelling and forecasting by wavelets, and the application to exchange rates
• AN ANALYSIS OF U.S. STOCK PRICE BEHAVIOR USING WAVELETS
• ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
• Wavelets and Dilation Equations: A Brief Introduction
• Wavelet transform of the dilation equation
• Haar and Daubechies wavelet methods in modeling banking sector
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