One common approach for exploring, approximating and estimating complex system dynamics refers to models based on elementary or atomic building block components of easier interpretation and efficient computation. We adopt a combination of wavelets, greedy approximation and subspace techniques to...

We aim to investigate the potential usefulness of wavelets for representing and decomposing financial volatility processes. Our strategy relies on the empirical analysis of high-frequency intradaily stock index returns by using adaptive signal-processing techniques which exploit the...