Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients : detecting switching volatility regimes
George Tzagkarakis, Thomas Dionysopoulos and Alin Achim
| Year of publication: |
2016
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| Authors: | Tzagkarakis, George ; Dionysopoulos, Thomas ; Achim, Alin |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 20.2016, 1, p. 75-96
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| Subject: | alpha-stable distributions | MAP denoising | recurrence quantification analysis | switching volatility regimes | wavelet decomposition | Volatilität | Volatility | Theorie | Theory | Markov-Kette | Markov chain | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2014-0102 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011431136