Empirical volatility analysis: Feature detection and signal extraction with function dictionaries

Physica A: Statistical Mechanics and its Applications

Volumn 319, Issue , 2003, Pages 495-518

  Capobianco, Enrico ^a  

^a CWI   (Netherlands)

Author keywords

Feature detection; High frequency volatility; Matching pursuit; Signal extraction; SureShrink estimators; Wavelet and cosine packets; Wavelets

Indexed keywords

APPROXIMATION THEORY; FUNCTIONS; RISK ASSESSMENT; SIGNAL PROCESSING; WAVELET TRANSFORMS;

HIGH-FREQUENCY VOLATILITY;

FEATURE EXTRACTION;

EID: 0037362442     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01369-9     Document Type: Article

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