Wavelet-based long memory study in American and Chinese stock market

Chinese Control and Decision Conference, 2008, CCDC 2008

Volumn , Issue , 2008, Pages 2112-2115

  Yu, Jun ^a   Fang, Aili ^b   Zhang, Siying ^a  

^a QINGDAO UNIVERSITY   (China)

^b LUDONG UNIVERSITY   (China)

Author keywords

Fractional Differenced Noise (FDN); Long memory; Maximal Overlap Discrete Wavelet Transform (MODWT); Wavelet variance

Indexed keywords

ALGEBRA; COMMERCE; DISCRETE WAVELET TRANSFORMS; ELECTRIC FAULT CURRENTS; WAVELET TRANSFORMS;

CHINESE STOCK MARKET; FINANCIAL DATA; FRACTIONAL DIFFERENCED NOISE (FDN); LONG MEMORIES; LONG MEMORY; MAXIMAL OVERLAP DISCRETE WAVELET TRANSFORM (MODWT); NOISE PROCESSING; STOCK MARKETS; WAVELET VARIANCE;

INVENTORY CONTROL;

EID: 52349097101     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/CCDC.2008.4597697     Document Type: Conference Paper

References (7)

1. Stéphane Mallat. A Wavelet Tour of Signal Processing. Academic Press, 1999.
2. D. B. Percival, A. T. Walden. Wavelet Methods for Time Series Analysis. Cambridge University Press,Cambridge, UK,2000.
3. J. D. Hamilton. Time Series Analysis. Prince University Press. 1994.
4. G. E. P. Box, G. M. Jenkins, G. C. Reinsel. Time Series Analysis: Forecasting and control.
5. J. Q. Fan, Q. W. Yao. Nonlinear Time Series. Higher Education Press, 2005.
6. D. O. Cajueiro, B. M. Tabak, "The rescaled variance statistic and the determination of the Hurst exponent", Mathematics and Computers in Simulation, vol 70, pp. 172-179, 2005.
7. E. Bayraktar, H. V. Poor, and K. R. Sircar, "Estimating the Fractal Dimension of the S&P 500 index Using Wavelet Analysis", International Journal of Theoretical and Applied Finance, vol 7, no 5, pp.615-643, 2004.