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Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
wavelet band spectrum regression corridor implied volatility realized volatility fractional cointegration
2012/9/14
This paper revisits the fractional cointegrating relationship between ex-ante implied volatil-ity and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should...
Realized Wavelet Jump-GARCH model: Can wavelet decomposition of volatility improve its forecasting?
wavelet decomposition jumps volatility forecasting Realized GARCH
2012/4/28
In this paper, we propose a forecasting model for volatility based on its decomposition to several investment horizons and jumps. As a forecasting tool, we utilize Realized GARCH framework of Hansen e...
An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition
time-series dynamic minimum-variance variance reduction
2011/3/30
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropria...
Wavelet Based Volatility Clustering Estimation of Foreign Exchange Rates
Time-Scale analysis Intermittency Nonlinearity and Chaos
2010/11/2
We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar( US/EUR) using a combination of both statistical and ...
Revealing the implied risk-neutral MGF from options: The wavelet method
Waveletanalysis Option pricing Laplace transform
2011/4/2
Options are believed to contain unique information on the risk-neutral moment generating function(MGF) or the risk-neutral probability density function(PDF) of the underlying asset. This paper applies...
Revealing the Implied Risk-neutral MGF with the Wavelet Method
Implied risk-neutral MGF wavelets options Black-Scholes model
2011/4/6
Options are believed to contain unique information about the risk- neutral moment generating function (MGF hereafter) or the risk-neutral probability density function (PDF hereafter). This paper appli...
U.S. Core Inflation: A Wavelet Analysis
core inflation wavelets trend inflation inflation prediction
2011/3/31
This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI...