WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS

DOI10.1142/S0219024909005233zbMath1175.91196MaRDI QIDQ3637883

Anouar Ben Mabrouk, Hedi Kortas, Samir Ben Ammou

Publication date: 14 July 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

wavelets; stock market; long memory; volatility

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

Related Items

A WAVELET METHOD COUPLED WITH QUASI-SELF-SIMILAR STOCHASTIC PROCESSES FOR TIME SERIES APPROXIMATION

Uses Software

• longmemo

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