Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes
DOI10.1515/snde-2014-0102OpenAlexW2277068363MaRDI QIDQ2691644
Alin Achim, George Tzagkarakis, Thomas Dionysopoulos
Publication date: 30 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2014-0102
wavelet decompositionrecurrence quantification analysisalpha-stable distributionsMAP denoisingswitching volatility regimes
Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Uses Software
Cites Work
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