Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery
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- Schroeder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," LSE Research Online Documents on Economics 54934, London School of Economics and Political Science, LSE Library.
References listed on IDEAS
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KeywordsFinancial time series; Adaptive trend estimation; Change-point detection; Binary segmentation; Unbalanced Haar wavelets; Frequency-domain modelling;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-29 (All new papers)
- NEP-ECM-2013-12-29 (Econometrics)
- NEP-FOR-2013-12-29 (Forecasting)
- NEP-ORE-2013-12-29 (Operations Research)
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