Differentiating intraday seasonalities through wavelet multi-scaling
DOI10.1016/S0378-4371(00)00463-5zbMATH Open0971.91504OpenAlexW2102189306MaRDI QIDQ88369FDOQ88369
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
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Cites Work
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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
- Using wavelets in the measurement of multiscale dependence between Saudi and selected foreign stock markets
- Wavelet-based option pricing: an empirical study
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- 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
- shapeR
- 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
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