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Differentiating intraday seasonalities through wavelet multi-scaling
8 references·16 citing·45 second hop
Differentiating intraday seasonalities through wavelet multi-scaling (2001)Differentiating intraday seasonalities th…An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…The Distribution of Stock Return Volatility (2000)The Distribution of Stock Ret…The Distribution of Exchange Rate Volatility (1999)The Distribution of Exchange …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Statistical study of foreign …Dynamic interdependence of cryptocurrency markets: An analysis across time and frequency (2020)Dynamic interdependence of cr…Economic policy uncertainty and stock market liquidity: Evidence from G7 countries (2019)Economic policy uncertainty a…Long-Term Stock Market Volatility and the Influence of Terrorist Attacks in Europe (2017)Long-Term Stock Market Volati…Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches (2016)Portfolio diversification ben…The impact of crude oil price on Islamic stock indices of South East Asian countries: Evidence from MGARCH-DCC and wavelet approaches (2015)The impact of crude oil price…Investment horizon heterogeneity and wavelet: Overview and further research directions (2015)Investment horizon heterogene…Carbon financial markets: A time–frequency analysis of CO2 prices (2014)Carbon financial markets: A t…The multiscale causal dynamics of foreign exchange markets (2012)The multiscale causal dynamic…De-noising option prices with the wavelet method (2012)De-noising option prices with…Asymmetry of information flow between volatilities across time scales (2010)Asymmetry of information flow…Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets (2009)Systematic risk and time scal…A Hybrid System Integrating a Wavelet and TSK Fuzzy Rules for Stock Price Forecasting (2008)A Hybrid System Integrating a…The International CAPM and a Wavelet-Based Decomposition of Value at Risk (2006)The International CAPM and a …The CAPM and value at risk at different time-scales (2005)The CAPM and value at risk at…Wavelets in Economics and Finance: Past and Future (2002)Wavelets in Economics and Fin…Scaling properties of foreign exchange volatility (2001)Scaling properties of foreign…Autoregressive Conditional 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financial markets: a review (2019)Fractional Brownian Motions, Fractional Noises and Applications (1968)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)The variation of certain speculative prices (1997)Wavelet analysis of stock returns and aggregate economic activity (2007)Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach (2017)Gold price dynamics and the role of uncertainty (2018)The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Consistent ranking of volatility models (2005)Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model (2005)Brownian Motion and Stochastic Calculus (2007)Realising the future: forecasting with high‐frequency‐based 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from volatility (2005)Parametric and Nonparametric Volatility Measurement (2010)International comovement of stock market returns: A wavelet analysis (2009)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Does Bitcoin hedge global uncertainty? 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this work references cited by second hop

References

  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
  • 2000The Distribution of Stock Return Volatility497 cited
  • 1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis482 cited
  • 1999The Distribution of Exchange Rate Volatility462 cited

Cited by

  • 2001Scaling properties of foreign exchange volatility201 cited
  • 2010Asymmetry of information flow between volatilities across time scales139 cited
  • 2002Wavelets in Economics and Finance: Past and Future131 cited
  • 2008A Hybrid System Integrating a Wavelet and TSK Fuzzy Rules for Stock Price Forecasting117 cited
  • 2020Dynamic interdependence of cryptocurrency markets: An analysis across time and frequency101 cited
  • 2016Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches

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100 cited
  • 2005The CAPM and value at risk at different time-scales95 cited
  • 2006The International CAPM and a Wavelet-Based Decomposition of Value at Risk91 cited
  • 2015The impact of crude oil price on Islamic stock indices of South East Asian countries: Evidence from MGARCH-DCC and wavelet approaches91 cited
  • 2012De-noising option prices with the wavelet method86 cited
  • 2017Long-Term Stock Market Volatility and the Influence of Terrorist Attacks in Europe86 cited
  • 2014Carbon financial markets: A time–frequency analysis of CO2 prices84 cited
  • 2015Investment horizon heterogeneity and wavelet: Overview and further research directions84 cited
  • 2012The multiscale causal dynamics of foreign exchange markets82 cited
  • 2009Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets79 cited
  • 2019Economic policy uncertainty and stock market liquidity: Evidence from G7 countries78 cited