Scaling properties of foreign exchange volatility
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Cites work
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Apparent scaling
- Common Persistence in Conditional Variances
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional differencing
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- scientific article; zbMATH DE number 1470722 (Why is no real title available?)
- Long-range Dependence: Revisiting Aggregation with Wavelets
- Multiscale behaviour of volatility autocorrelations in a financial market
- On estimation of the wavelet variance
- Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
- Ten Lectures on Wavelets
- The Distribution of Realized Exchange Rate Volatility
- Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes
Cited in
(25)- Structural changes in volatility of foreign exchange rates after the Asian financial crisis
- Wavelet analysis of stock returns and aggregate economic activity
- Characteristic time scales in the American dollar-Mexican peso exchange currency market
- Anomalous volatility scaling in high frequency financial data
- Empirical scaling laws and the aggregation of non-stationary data
- International finance, Lévy distributions, and the econophysics of exchange rates
- Nonlinearities in the exchange rates returns and volatility
- Scaling, self-similarity and multifractality in FX markets
- De-noising option prices with the wavelet method
- A wavelet-based approach to test for financial market contagion
- Wavelet-based option pricing: an empirical study
- Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes
- Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- A wavelet method coupled with quasi-self-similar stochastic processes for time series approximation
- The distribution of realized exchange rate volatility
- Multi-scaling in finance
- Overlaying time scales in financial volatility data
- Systematic risk and timescales
- The Distribution of Realized Exchange Rate Volatility
- Gold price dynamics and the role of uncertainty
- Scaling laws: a viable alternative to value at risk?
- Wavelet-based multi-resolution GARCH model for financial spillover effects
- Integrating spectral clustering with wavelet based kernel partial least square regressions for financial modeling and forecasting
- Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method
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