Yazgan, M. Ege; Özkan, Harun - In: Finance Research Letters 12 (2015) C, pp. 23-37
We propose a powerful wavelet method to identify structural breaks in the mean of a process. If there is a structural change in the mean, the sum of the squared scaling coefficients absorbs more variation, leading to unequal weights for the variances of the wavelet and scaling coefficients. We...
