Empirical volatility analysis: feature detection and signal extraction with function dictionaries
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Antonios Antoniou & Constantinos E. Vorlow, 2004. "Price Clustering and Discreteness: Is there Chaos behind the Noise?," Papers cond-mat/0407471, arXiv.org.
- Kaijian He & Kin Keung Lai & Guocheng Xiang, 2012. "Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach," Energies, MDPI, Open Access Journal, vol. 5(4), pages 1-26, April.
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More about this item
KeywordsHigh-frequency volatility; wavelets; Signal extraction; SureShrink estimators; Feature detection; Matching pursuit;
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