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System identification in noisy data environments : an application to six Asian stock markets
Los, Cornelis Albertus - In: Journal of banking & finance 30 (2006) 7, pp. 1997-2024
Persistent link: https://www.econbiz.de/10003339497
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Nonparametric testing of the high-frequency efficiency of the 1997 Asian foreign exchange markets
Los, Cornelis Albertus - In: Journal of multinational financial management 9 (1999) 3/4, pp. 265-289
Persistent link: https://www.econbiz.de/10001506197
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Nonparametric efficiency testing of Asian stock markets using weekly data
Los, Cornelis Albertus - In: Applying Kernel and nonparametric estimation to …, (pp. 329-363). 2000
Persistent link: https://www.econbiz.de/10001548554
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Optimal multi-currency investment strategies with exact attribution in three Asian countries
Los, Cornelis Albertus - In: Journal of multinational financial management 8 (1998) 2, pp. 169-198
Persistent link: https://www.econbiz.de/10001339143
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Optimal Asian multi-currency strategy portfolios with exact risk attribution
Los, Cornelis Albertus - In: Financial risk and financial risk management, (pp. 215-260). 2002
Persistent link: https://www.econbiz.de/10001755645
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Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997
Los, Cornelis A.; Karuppiah, Jeyanthi - School of Economics, University of Adelaide - 2000
FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet...
Persistent link: https://www.econbiz.de/10008462901
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Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997
LOS, CORNELIS A.; KARUPPIAH, JEYANTHI - EconWPA - 2004
FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet...
Persistent link: https://www.econbiz.de/10005561603