Wavelet-based detection of outliers in volatility models
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- Li, Yushu, 2013.
"Wavelet based outlier correction for power controlled turning point detection in surveillance systems,"
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- Li, Yushu & Reese, Simon, 2012.
"Wavelet Improvement in Turning Point Detection using a Hidden Markov Model,"
2012:14, Lund University, Department of Economics, revised 05 Apr 2014.
- Li, Yushu & Reese, Simon, 2014. "Wavelet improvement in turning point detection using a Hidden Markov Model," Discussion Papers 2014/10, Norwegian School of Economics, Department of Business and Management Science.
- Yushu Li & Simon Reese, 2014. "Wavelet improvement in turning point detection using a hidden Markov model: from the aspects of cyclical identification and outlier correction," Computational Statistics, Springer, vol. 29(6), pages 1481-1496, December.
More about this item
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-02-22 (All new papers)
- NEP-ECM-2009-02-22 (Econometrics)
- NEP-ETS-2009-02-22 (Econometric Time Series)
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