WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS
DOI10.1142/S0219024909005233zbMATH Open1175.91196OpenAlexW2001395117MaRDI QIDQ3637883FDOQ3637883
Authors: Anouar Ben Mabrouk, Samir Ben Ammou, Hedi Kortas 
Publication date: 14 July 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024909005233
Recommendations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
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Cited In (16)
- LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS
- ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
- Short and long memory in stock returns data
- Long-run wavelet-based correlation for financial time series
- Estimating the fractional order of integration of interest rates using a wavelet OLS estimator
- Estimators of long-memory: Fourier versus wavelets
- FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES
- Title not available (Why is that?)
- A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of southeast Europe
- Analysis and short-time extrapolation of stock market indexes through projection onto discrete wavelet subspaces
- Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
- Estimation of long memory in volatility using wavelets
- A wavelet Whittle estimator of generalized long-memory stochastic volatility
- Wavelet fuzzy hybrid model for physico-financial signals
- Title not available (Why is that?)
- A wavelet method coupled with quasi-self-similar stochastic processes for time series approximation
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