Differentiating intraday seasonalities through wavelet multi-scaling

DOI10.1016/S0378-4371(00)00463-5MaRDI QIDQ88369zbMATH OpenOpenAlexFDO

Authors Ramazan Gençay, Faruk Selçuk, Brandon Whitcher, Ramazan Gençay, Faruk Selçuk, Brandon Whitcher

Publication date January 2001

Published in Physica A: Statistical Mechanics and its Applications, Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4371(00)00463-5

zbMATH Keywords

arbitrary length series decompositionnon-decimated discrete wavelet transformtranslation invariant filtering

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• scientific article; zbMATH DE number 52869 (Why is no real title available?)
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• scientific article; zbMATH DE number 802858 (Why is no real title available?)
• scientific article; zbMATH DE number 802866 (Why is no real title available?)
• A theory for multiresolution signal decomposition: the wavelet representation
• Analysis of Subtidal Coastal Sea Level Fluctuations Using Wavelets
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• On estimation of the wavelet variance
• Ten Lectures on Wavelets
• The Distribution of Realized Exchange Rate Volatility

Cited in

(15)

• Systematic risk and timescales
• ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
• CYCLICAL BEHAVIOR OF PRICES IN THE G7 COUNTRIES THROUGH WAVELET ANALYSIS
• Long-memory in high-frequency exchange rate volatility under temporal aggregation
• Wavelet-based option pricing: an empirical study
• Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets
• Time-varying persistence of inflation: evidence from a wavelet-based approach
• shapeR
• An unbiased autoregressive conditional intraday seasonal variance filtering process
• Analysis of shares frequency components on daily value-at-risk in emerging and developed markets
• Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach
• Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the euro area
• De-noising option prices with the wavelet method
• Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method
• A wavelet method coupled with quasi-self-similar stochastic processes for time series approximation

Describes a project that uses

Uses Software

• wmtsa
• wavemulcor

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