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Differentiating intraday seasonalities through wavelet multi-scaling · Study

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ArticleDifferentiating intraday seasonalities through wavelet multi-scaling

Ramazan Gençay A2001

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Articlegreen2001

Differentiating intraday seasonalities through wavelet multi-scaling

Ramazan Gençay A · Faruk Selçuk∥ · Brandon J. Whitcher

175 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 2001An Introduction to High-Frequency Finance 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market 2000The Distribution of Stock Return Volatility 1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis 1999The Distribution of Exchange Rate Volatility

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Year2001

Typearticle

Published2001-01-01

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations175

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0378-4371(00)00463-5

openalex_workW2102189306

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