Statistical analysis of financial time series under the assuption of local stationarity
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- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
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- G. P. Nason & R. von Sachs & G. Kroisandt, 2000. "Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 271-292.
- Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
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