A WAVELET EXPLORATION OF THE BVL INDEX

Wavelets allow for a more flexible characterization of time series than both spectral and classical time series methods, by representing them with basis functions that separate between time and scale. In this paper, we briefly present the main definitions and results of both wavelet (IBVL). We denoise the series, separate trend and cycle, and present a Monte Carlo estimation of the fractal dimension of the series.

MoreLess

Year of publication:	2001
Authors:	Brito, Paulo
Published in:	Portuguese Journal of Management Studies. - Instituto Superior de Economia e Gestão (ISEG). - Vol. VI.2001, 1, p. 3-21
Publisher:	Instituto Superior de Economia e Gestão (ISEG)
Subject:	Wavelets \| Lisbon stock exchange

More details

Extent:	application/pdf
Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005000316