Asymmetry of Information Flow Between Volatilities Across Time Scales
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- Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher, 2010. "Asymmetry of information flow between volatilities across time scales," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 895-915.
- Ramazan Gencay & Faruk Selcuk, 2004. "Asymmetry of Information Flow Between Volatilities Across Time Scales," Econometric Society 2004 North American Winter Meetings 90, Econometric Society.
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More about this item
KeywordsDiscrete wavelet transform; wavelet-domain hidden Markov trees; foreign exchange markets; stock markets; multiresolution analysis; scaling;
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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