IDEAS home Printed from https://ideas.repec.org/a/pjm/journl/vviy2001i1p3-21.html
   My bibliography  Save this article

A Wavelet Exploration Of The Bvl Index

Author

Listed:
  • Paulo Brito

    (Instituto Superior de Economia e Gestão. Universidade Técnica de Lisboa)

Abstract

Wavelets allow for a more flexible characterization of time series than both spectral and classical time series methods, by representing them with basis functions that separate between time and scale. In this paper, we briefly present the main definitions and results of both wavelet (IBVL). We denoise the series, separate trend and cycle, and present a Monte Carlo estimation of the fractal dimension of the series.

Suggested Citation

  • Paulo Brito, 2001. "A Wavelet Exploration Of The Bvl Index," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 3-21.
  • Handle: RePEc:pjm:journl:v:vi:y:2001:i:1:p:3-21
    as

    Download full text from publisher

    File URL: https://ejms.iseg.ulisboa.pt/files/2001-A_wavelet_exploration_of_the_BVL_index.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Wavelets; Lisbon stock exchange.;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pjm:journl:v:vi:y:2001:i:1:p:3-21. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Luís Mota de Castro, Tiago Cardão-Pito, Mark Crathorne (email available below). General contact details of provider: https://edirc.repec.org/data/isutlpt.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.