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Data-adaptive wavelets and multi-scale singular-spectrum analysis · Study

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ArticleData-adaptive wavelets and multi-scale singular-spectrum analysis

Pascal Yiou2000

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Data-adaptive wavelets and multi-scale singular-spectrum analysis

Pascal Yiou · Didier Sornette · Michael Ghil

140 citations·0/0 files stored·Physica D Nonlinear Phenomena

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Complex Systems and Time Series Analysis Mathematical Analysis and Transform Methods Time Series Analysis and Forecasting

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1996Full House 1997Large financial crashes 1997Convergent Multiplicative Processes Repelled from Zero: Power Laws and Truncated Power Laws

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2006Wavelet and rescaled range approach for the Hurst coefficient for short and long time series 2009The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets 2002Modeling daily realized futures volatility with singular spectrum analysis

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Year2000

Typearticle

Published2000-08-01

VenuePhysica D Nonlinear Phenomena

ISSN-L0167-2789

Languageen

Citations140

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/s0167-2789(00)00045-2

openalex_workW2011092792

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