EXPLORING MULTI-RESOLUTION AND MULTI-SCALING VOLATILITY FEATURES
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Cites work
- Atomic decomposition by basis pursuit
- Computationally Efficient Atomic Representations for Nonstationary Stochastic Processes
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- Fourier series method for measurement of multivariate volatilities
- FUNCTIONAL APPROXIMATION IN MULTISCALE COMPLEX SYSTEMS
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 108512 (Why is no real title available?)
- scientific article; zbMATH DE number 554499 (Why is no real title available?)
- Ideal spatial adaptation by wavelet shrinkage
- Long-range Dependence: Revisiting Aggregation with Wavelets
- Modeling and Forecasting Realized Volatility
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On estimation of the wavelet variance
- Spectral characterization of the optimal quadratic variation process
- Ten Lectures on Wavelets
- Time series: theory and methods.
- Wavelet packet computation of the Hurst exponent
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