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65 days ago - q-fin updates on arXiv.org
In this paper we studied about the wavelet identification of the thresholds
and time delay for more general case without the constraint that the time delay
is smaller than the...
158 days ago - MoneyScience Twitter Stream
moneyscience: Research: Option Pricing from Wavelet-Filtered Financial Series. (arXiv:1103.3639v2 [q-fin.ST] CROSS LISTED) http://t.co/jU1s1hrb
274 days ago - MoneyScience Twitter Stream
moneyscience: Research: Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet ... http://t.co/WKyhT6zJ
274 days ago - q-fin updates on arXiv.org
This paper revisits the fractional cointegrating relationship between ex-ante
implied volatility and ex-post realized volatility. We argue that the concept
of corridor implied...
381 days ago - q-fin updates on arXiv.org
We study the nature of fluctuations in variety of price indices involving
companies listed on the New York Stock Exchange. The fluctuations at multiple
scales are extracted th...