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Analysis of Financial Time-Series Using Fourier and Wavelet Methods
16 references·2 citing·51 second hop
Analysis of Financial Time-Series Using Fourier and Wavelet Methods (2008)Analysis of Financial Time-Series Using F…Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management (2011)Theory of Financial Risk and …Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data (2007)Multi-Scale Jump and Volatili…Long memory in commodity futures volatility: A wavelet perspective (2007)Long memory in commodity futu…A GUIDE TO WAVELETS FOR ECONOMISTS* (2007)A GUIDE TO WAVELETS FOR ECONO…Wavelet versus detrended fluctuation analysis of multifractal structures (2006)Wavelet versus detrended fluc…Portfolio management under sudden changes in volatility and heterogeneous investment horizons (2006)Portfolio management under su…Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration (2005)Finite Sample Comparison of P…An Intuitive Guide to Wavelets for Economists (2005)An Intuitive Guide to Wavelet…Systematic risk and timescales (2003)Systematic risk and timescalesMarket heterogeneities and the causal structure of volatility (2003)Market heterogeneities and th…Financial products and financial markets (2003)Financial products and financ…Wavelets in Economics and Finance: Past and Future (2002)Wavelets in Economics and Fin…The Predictability of House Prices (2002)The Predictability of House P…Wavelet methods in (financial) time-series processing (2001)Wavelet methods in (financial…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Fractals and Intrinsic Time - a Challenge to Econometricians (1995)Fractals and Intrinsic Time -…Hybrid wavelet-neural network models for time series (2023)Hybrid wavelet-neural network…Heading towards sustainable environment: exploring the dynamic linkage among selected macroeconomic variables and ecological footprint using a novel dynamic ARDL simulations approach (2021)Heading towards sustainable e…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)How do correlations of crude oil prices co-move? 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this work references cited by second hop

References

  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 2011Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management480 cited
  • 2007A GUIDE TO WAVELETS FOR ECONOMISTS*422 cited
  • 2006Wavelet versus detrended fluctuation analysis of multifractal structures339 cited
  • 1995Fractals and Intrinsic Time - a Challenge to Econometricians258 cited
  • 2007Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data241 cited
  • 2003Systematic risk and timescales194 cited
  • 2002Wavelets in Economics and Finance: Past and Future131 cited
  • 2003Market heterogeneities and the causal structure of volatility114 cited
  • 2005An Intuitive Guide to Wavelets for Economists106 cited
  • 2001Wavelet methods in (financial) time-series processing103 cited
  • 2005Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration74 cited
  • 2002The Predictability of House Prices56 cited
  • 2003Financial products and financial markets52 cited
  • 2007Long memory in commodity futures volatility: A wavelet perspective45 cited

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2006
Portfolio management under sudden changes in volatility and heterogeneous investment horizons
29 cited

Cited by

  • 2021Heading towards sustainable environment: exploring the dynamic linkage among selected macroeconomic variables and ecological footprint using a novel dynamic ARDL simulations approach52 cited
  • 2023Hybrid wavelet-neural network models for time series26 cited