Multiscale analysis of economic time series by scale-dependent Lyapunov exponent

Quantitative Finance

Volumn 13, Issue 2, 2013, Pages 265-274

  Gao, Jianbo ^a   Hu, Jing ^b   Tung, Wen Wen ^c   Zheng, Y ^d  

^a PMB Intelligence LLC   (United States)

^b Thermo Fisher Scientific   (United States)

^c PURDUE UNIVERSITY   (United States)

^d Kellogg Group LLC   (United States)

Author keywords

Financial time series; Long memory volatility processes; Nonlinear dynamics; Power law correlation

Indexed keywords

EID: 84873833824     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2011.580774     Document Type: Article

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