Search Results - subject:"multiresolution"

Co-movements and volatility spillover in Asian Forex Market : a multivariate GARCH and MRA approach

Bhandari, Avishek; Yazir P.; Hafsal K. - In: The empirical economics letters : a monthly … 15 (2016) 4, pp. 391-404

Persistent link: https://www.econbiz.de/10011580972

Wavelets/multiwavelets bases and correspondence estimation problem : an analytic study

Bhatti, Asim; Nahavandi, Saeid; Hossny, Mohammed - 2010

techniques has been proposed, possessing both advantages and shortcomings. Among the techniques reported, multiresolution … employed medium for multiresolution analysis is wavelets and multiwavelets bases, however, relatively little work has been …. Proposed algorithm uses multiresolution analysis enforced with wavelets/multiwavelts transform modulus maxima to establish …

Persistent link: https://www.econbiz.de/10009483981

Linear and Non-linear Causality Test in a LSTAR model - wavelet decomposition in a non-linear environment

Li, Yushu; Shukur, Ghazi - Centre of Excellence for Science and Innovation … - 2010

wavelet multiresolution analysis (MRA). The VAR filtered residuals and the wavelet decomposition series are used to extract …

Persistent link: https://www.econbiz.de/10008626065

Analysis and short-time extrapolation of stock market indexes through projection onto discrete wavelet subspaces

Gosse, Laurent - HAL - 2010

given multi-resolution analysis of $L^2(\Re)$. Then, since oscillations at a finer scale are discarded, it becomes possible …

Persistent link: https://www.econbiz.de/10008792910

Gaussian Multiresolution Models: Exploiting Sparse Markov and Covariance Structure

Choi, Myung Jin; Chandrasekaran, Venkat; Willsky, Alan S. - 2009

In this paper, we consider the problem of learning Gaussian multiresolution (MR) models in which data are only …

Persistent link: https://www.econbiz.de/10009432147

Analysis of the Dynamics of Mexican Inflation Using Wavelets.

Ysusi, Carla - Banco de México - 2009

This paper studies the dynamics of Mexican inflation by using a wavelet multiresolution analysis on 16 indexes of the …

Persistent link: https://www.econbiz.de/10004985598

Asymmetry of Information Flow Between Volatilities Across Time Scales

Gencay, Ramazan; Gradojevic, Nikola; Selcuk, Faruk; … - Rimini Centre for Economic Analysis (RCEA) - 2009

Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

Persistent link: https://www.econbiz.de/10008487534

Wavelet Analysis of Central European Stock Market Behaviour During the Crisis

Barunik, Jozef; Vacha, Lukas - Institut ekonomických studií, Univerzita Karlova v Praze - 2009

In the paper we test for the different reactions of stock markets to the current financial crisis. We focus on Central European stock markets, namely the Czech, Polish and Hungarian ones, and compare them to the German and U.S. benchmark stock markets. Using wavelet analysis, we decompose a time...

Persistent link: https://www.econbiz.de/10008531522

Wavelet analysis of Central European stock market behaviour during the crisis

Baruník, Jozef; Vácha, Lukáš - 2009

Persistent link: https://www.econbiz.de/10010322184

Analysis of the dynamics of Mexican inflation using wavelets

Ysusi, Carla - 2009

This paper studies the dynamics of Mexican inflation by using a wavelet multiresolution analysis on 16 indexes of the …

Persistent link: https://www.econbiz.de/10010322616