Open AccessWavelet Variance, Covariance and Correlation Analysis of BSE and NSE Indexes Financial Time Series
Author(s) -
Anuj Kumar,
Sangeeta Pant,
Lokesh Kumar Joshi
Publication year - 2016
Publication title -
international journal of mathematical, engineering and management sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.228
H-Index - 10
ISSN - 2455-7749
DOI - 10.33889/ijmems.2016.1.1-003
Subject(s) - wavelet , covariance , econometrics , statistics , correlation , mathematics , stock market index , series (stratigraphy) , time series , index (typography) , variance (accounting) , stock market , economics , computer science , geography , accounting , artificial intelligence , paleontology , geometry , biology , context (archaeology) , archaeology , world wide web
The mostly used measure to analyze the stock market behavior is wavelet correlation analysis. Cross-country correlations have been largely used to obtain a static estimate of the comovements of actual returns across country. In this paper wavelet based variance, covariance and correlation analysis of BSE and NSE indexes financial time series have been done using index data from April 1990 to March 2006.