Search Results - subject:"synchrosqueezing"

Non-parametric estimation of intraday spot volatility: Disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-Tieng; Chavez-Demoulin, Valérie - In: Econometrics 3 (2015) 4, pp. 864-887

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...

Persistent link: https://www.econbiz.de/10011755303

Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887

Persistent link: https://www.econbiz.de/10011411344

Integrated data-driven analytics to identify instability signatures in nonstationary financial time series

Guharay, Samar K.; Thakur, Gaurav S.; Goodman, Fred J.; … - In: Applied economics 48 (2016) 16/18, pp. 1678-1694

Persistent link: https://www.econbiz.de/10011456722

Analysis of non-stationary dynamics in the financial system

Guharay, Samar K.; Thakur, Gaurav S.; Goodman, Fred J.; … - In: Economics Letters 121 (2013) 3, pp. 454-457

using functional principal component analysis (fPCA) and Synchrosqueezing. fPCA is applied in a new way, aggregating … multiple financial time series to identify periods of macroeconomic instability. Synchrosqueezing, a technique which generates …

Persistent link: https://www.econbiz.de/10010729443

Analysis of non-stationary dynamics in the financial system

Guharay, Samar K.; Thakur, Gaurav S.; Goodman, Fred J.; … - In: Economics letters 121 (2013) 3, pp. 454-457

Persistent link: https://www.econbiz.de/10010392677