Wavelets and stochastic processes
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- Levan, N. & Kubrusly, C.S., 2003. "A wavelet “time-shift-detail” decomposition," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 63(2), pages 73-78.
- Pham, Joseph N.Q., 2000. "A unilateral shift setting for the fast wavelet transform," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 52(5), pages 361-379.
- Kubrusly, Carlos S. & Levan, Nhan, 2004. "Shift reducing subspaces and irreducible-invariant subspaces generated by wandering vectors and applications," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 65(6), pages 607-627.
- Jozef Barunik & Lukas Vacha, 2015.
"Realized wavelet-based estimation of integrated variance and jumps in the presence of noise,"
Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1347-1364, August.
- Jozef Barunik & Lukas Vacha, 2012. "Realized wavelet-based estimation of integrated variance and jumps in the presence of noise," Papers 1202.1854, arXiv.org, revised Feb 2013.
- Baruník, Jozef & Vácha, Lukáš, 2014. "Realized wavelet-based estimation of integrated variance and jumps in the presence of noise," FinMaP-Working Papers 16, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas, 2016.
"Modeling and forecasting exchange rate volatility in time-frequency domain,"
European Journal of Operational Research, Elsevier, vol. 251(1), pages 329-340.
- Jozef Barunik & Tomas Krehlik & Lukas Vacha, 2012. "Modeling and forecasting exchange rate volatility in time-frequency domain," Papers 1204.1452, arXiv.org, revised Feb 2015.
- Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas, 2016. "Modeling and forecasting exchange rate volatility in time-frequency domain," FinMaP-Working Papers 55, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Miloš Milovanović & Srđan Vukmirović & Nicoletta Saulig, 2021. "Stochastic Analysis of the Time Continuum," Mathematics, MDPI, vol. 9(12), pages 1-20, June.
- Barunik, Jozef & Vacha, Lukas, 2018.
"Do co-jumps impact correlations in currency markets?,"
Journal of Financial Markets, Elsevier, vol. 37(C), pages 97-119.
- Jozef Barunik & Lukas Vacha, 2016. "Do co-jumps impact correlations in currency markets?," Papers 1602.05489, arXiv.org, revised Oct 2017.
- Gialampoukidis, I. & Gustafson, K. & Antoniou, I., 2014. "Time operator of Markov chains and mixing times. Applications to financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 141-155.
- Miloš Milovanović & Nicoletta Saulig, 2024. "The Duality of Psychological and Intrinsic Time in Artworks," Mathematics, MDPI, vol. 12(12), pages 1-14, June.
- Miloš Milovanović & Nicoletta Saulig, 2022. "An Intensional Probability Theory: Investigating the Link between Classical and Quantum Probabilities," Mathematics, MDPI, vol. 10(22), pages 1-16, November.
- Gialampoukidis, Ilias & Antoniou, Ioannis, 2015. "Age, Innovations and Time Operator of Networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 432(C), pages 140-155.
- Miloš Milovanović, 2023. "The Measurement Problem in Statistical Signal Processing," Mathematics, MDPI, vol. 11(22), pages 1-13, November.
- Gialampoukidis, I. & Gustafson, K. & Antoniou, I., 2013. "Financial Time Operator for random walk markets," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 62-72.
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Keywords
Wavelet; Multiresolution analysis; Stochastic process; Kolmogorov system; Ergodic theory;All these keywords.
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