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Estimating daily seasonals in financial time series : The use of high-pass spectral filters

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  • Copeland, Laurence S.
  • Wang, Peijie

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  • Copeland, Laurence S. & Wang, Peijie, 1993. "Estimating daily seasonals in financial time series : The use of high-pass spectral filters," Economics Letters, Elsevier, vol. 43(1), pages 1-4.
    • Handle: RePEc:eee:ecolet:v:43:y:1993:i:1:p:1-4
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    Cited by:

    1. Peijie Wang & Ping Wang, 2001. "Equilibrium adjustment, basis risk and risk transmission in spot and forward foreign exchange markets," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 127-136.
    2. Laurence Copeland & Biqiong Zhang, 2003. "Volatility and Volume in Chinese Stock Markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 1(3), pages 287-300.

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