Scaling properties of foreign exchange volatility
Year of publication: |
2001
|
---|---|
Authors: | Gençay, Ramazan ; Selçuk, Faruk ; Whitcher, Brandon |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 289.2001, 1, p. 249-266
|
Publisher: |
Elsevier |
Subject: | Foreign exchange volatility | Scaling | Wavelets | Multi-scaling |
-
Differentiating intraday seasonalities through wavelet multi-scaling
Gençay, Ramazan, (2001)
-
A wavelet analysis of scaling laws and long-memory in stock market volatility
Vuorenmaa, Tommi A., (2005)
-
A wavelet analysis of scaling laws and long-memory in stock market volatility
Vuorenmaa, Tommi, (2005)
- More ...
-
Asymmetry of Information Flow Between Volatilities Across Time Scales
Gençay, Ramazan, (2002)
-
Gençay, Ramazan, (2002)
-
Systematic risk and time scales
Gençay, Ramazan, (2002)
- More ...