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.
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More about this item
KeywordsHigh-frequency volatility; wavelets; Signal extraction; SureShrink estimators; Feature detection; Matching pursuit;
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