Long-run wavelet-based correlation for financial time series

Thomas Conlon, John Cotter, Ramazan Gençay

Year of publication:	1 December 2018
Authors:	Conlon, Thomas ; Cotter, John ; Gençay, Ramazan
Published in:	European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 271.2018, 2 (1.12.), p. 676-696
Subject:	Decision analysis \| Long-run \| Correlation \| Wavelet \| Portfolio allocation \| Korrelation \| Zeitreihenanalyse \| Time series analysis \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Zustandsraummodell \| State space model \| Schätzung \| Estimation \| Volatilität \| Volatility \| Kapitaleinkommen \| Capital income \| Finanzmarkt \| Financial market \| ARCH-Modell \| ARCH model

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