Multiscale Analysis of Stock Index Return Volatility
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References listed on IDEAS
- Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
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- Viviana Fernandez & Brian M Lucey, 2006.
"Portfolio management implications of volatility shifts: Evidence from simulated data,"
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219, Centro de Economía Aplicada, Universidad de Chile.
- Viviana Fernandez & Brian M. Lucey, 2006. "Portfolio management implications of volatility shifts: Evidence from simulated data," The Institute for International Integration Studies Discussion Paper Series iiisdp131, IIIS.
- Patrick Crowley, 2005. "An intuitive guide to wavelets for economists," Econometrics 0503017, EconWPA.
- repec:hal:journl:halshs-00261514 is not listed on IDEAS
- Fernandez, Viviana & Lucey, Brian M., 2007. "Portfolio management under sudden changes in volatility and heterogeneous investment horizons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 612-624.
- Bai, Limiao & Yan, Sen & Zheng, Xiaolian & Chen, Ben M., 2015. "Market turning points forecasting using wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 184-197.
- Kravets Tatiana V., 2013. "Modelling Profitabilities of Stock Indices Using Methods of Wavelet Analysis," Business Inform, RESEARCH CENTRE FOR INDUSTRIAL DEVELOPMENT PROBLEMS of NAS (KHARKIV, UKRAINE), Kharkiv National University of Economics, issue 7, pages 104-109.
- Roger Bowden & Jennifer Zhu, 2010. "Multi-scale variation, path risk and long-term portfolio management," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 783-796.
- George Tzagkarakis & Juliana Caicedo-Llano & Thomas Dionysopoulos, 2016. "Time-Frequency Adapted Market Integration Measure Based on Hough Transformed Multiscale Decompositions," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 1-27, June.
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