Concepedia

Differentiating intraday seasonalities through wavelet multi-scaling

Ramazan Gençay, Faruk Selçuk∥, Brandon Whitcher

Physica A Statistical Mechanics and its Applications · 2001 · 175 citations · 12 references

DOI

Concepts

References

12

A theory for multiresolution signal decomposition: the wavelet representation

Stéphane Mallat · IEEE Transactions on Pattern Analysis and Machine Intelligence · 1989 · 21.1K citations

, , +16

Wavelet methods for time series analysis

Choice Reviews Online · 2001 · 2.6K citations

, , +16

Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

Torben G. Andersen, Tim Bollerslev · The Journal of Finance · 1998 · 1.2K citations

, , +17

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns

Torben G. Andersen, Tim Bollerslev · The Journal of Finance · 1997 · 635 citations

, , +17

A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

Ulrich Müller, Robert J. Nagler, Richard B. Olsen et al. · Journal of International Money and Finance · 1993 · 630 citations

, , +15