Open AccessLocating shifts in the unconditional variance of time-dependent processes using multiscale wavelet periodogram
Author(s) -
Md. Sabiruzzaman,
Nor Aishah Hamzah,
Ahmad Zubaidi Baharumshah
Publication year - 2014
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.4887710
Subject(s) - wavelet , mathematics , discrete wavelet transform , volatility (finance) , variance (accounting) , wavelet transform , proxy (statistics) , autocorrelation , statistics , algorithm , computer science , artificial intelligence , econometrics , accounting , business
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom