Local regularity analysis of market index for the 2008 economical crisis

DOI10.15517/rmta.v19i1.2105zbMath1288.91192OpenAlexW1998060146MaRDI QIDQ5412193

Mariel Rosenblatt, E. P. Serrano, A. Figliola

Publication date: 25 April 2014

Published in: Revista de Matemática: Teoría y Aplicaciones (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15517/rmta.v19i1.2105

zbMATH Keywords

wavelet analysispointwise Hölder exponentstock market indiceslocal regularity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Numerical methods for wavelets (65T60) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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