of series by timescales obtained using wavelets, following Ramsey and Lampart (1998). Specifically, we propose the … includes different timescale details obtained using wavelets; this result could be considered as an alternative way to …

the nature of the data generating process. A process equation that successfully explains daily price changes, for example …, is unable to characterize the nature of hourly price changes. On the other hand, statistical properties of monthly price … changes are often not fully covered by a model based on daily price changes. In this paper, we simultaneously model regimes of …

We consider the behavior of the price of a continuously stored commodity, for which discounted price is a non …-constant martingale, and thus not-predictable. We prove that the discounted price realization is within any given neighborhood of zero … path of discounted price realizations will lie permanently within any given neighborhood of zero beyond a finite state …