Differentiating intraday seasonalities through wavelet multi-scaling

DOI10.1016/s0378-4371(00)00463-5zbMath0971.91504OpenAlexW2102189306MaRDI QIDQ88369

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

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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Uses Software

• wavemulcor
• wmtsa

Cites Work

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• Ten Lectures on Wavelets
• Analysis of Subtidal Coastal Sea Level Fluctuations Using Wavelets
• The Distribution of Realized Exchange Rate Volatility
• On estimation of the wavelet variance