A wavelet analysis of scaling laws and long-memory in stock market volatility

Proceedings of SPIE - The International Society for Optical Engineering

Volumn 5848, Issue , 2005, Pages 39-54

  Vuorenmaa, Tommi A ^a,b  

^a UNIVERSITY OF HELSINKI   (Finland)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

High frequency data; Long memory; Scaling; Stock market; Volatility; Wavelet

Indexed keywords

DATA ACQUISITION; FINANCE; FREQUENCIES; MARKETING; WAVELET TRANSFORMS;

HIGH-FREQUENCY DATA; LONG-MEMORY; SCALING; STOCK MARKET;

INVENTORY CONTROL;

EID: 28444464075     PISSN: 0277786X     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1117/12.626343     Document Type: Conference Paper

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