Multiscale Analysis of Stock Index Return Volatility
暂无分享,去创建一个
[1] Stéphane Mallat,et al. Matching pursuits with time-frequency dictionaries , 1993, IEEE Trans. Signal Process..
[2] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[3] The wavelet detection of hidden periodicities in time series , 1997 .
[4] I. Johnstone,et al. Minimax estimation via wavelet shrinkage , 1998 .
[5] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[6] I. Johnstone,et al. Ideal spatial adaptation by wavelet shrinkage , 1994 .
[7] Enrico Capobianco,et al. Statistical Analysis of Financial Volatility by Wavelet Shrinkage , 1999 .
[8] Ronald R. Coifman,et al. Entropy-based algorithms for best basis selection , 1992, IEEE Trans. Inf. Theory.
[9] I. Johnstone. WAVELET SHRINKAGE FOR CORRELATED DATA AND INVERSE PROBLEMS: ADAPTIVITY RESULTS , 1999 .
[10] I. Johnstone,et al. Adapting to Unknown Smoothness via Wavelet Shrinkage , 1995 .
[11] T. Bollerslev,et al. Intraday periodicity and volatility persistence in financial markets , 1997 .
[12] Enrico Capobianco,et al. WAVELET TRANSFORMS FOR THE STATISTICAL ANALYSIS OF RETURNS GENERATING STOCHASTIC PROCESSES , 2001 .
[13] Ingrid Daubechies,et al. Ten Lectures on Wavelets , 1992 .