Manimaran, P.; Panigrahi, Prasanta K.; Parikh, Jitendra C. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 23, pp. 5810-5817
We apply a recently developed wavelet based approach to characterize the correlation and scaling properties of non-stationary financial time series. This approach is local in nature and it makes use of wavelets from the Daubechies family for detrending purpose. The built-in variable windows in...