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A Wavelet Exploration Of The Bvl Index

Author

Listed:
  • Paulo Brito

    (Instituto Superior de Economia e Gestão. Universidade Técnica de Lisboa)

Abstract

Wavelets allow for a more flexible characterization of time series than both spectral and classical time series methods, by representing them with basis functions that separate between time and scale. In this paper, we briefly present the main definitions and results of both wavelet (IBVL). We denoise the series, separate trend and cycle, and present a Monte Carlo estimation of the fractal dimension of the series.

Suggested Citation

  • Paulo Brito, 2001. "A Wavelet Exploration Of The Bvl Index," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 3-21.
    • Handle: RePEc:pjm:journl:v:vi:y:2001:i:1:p:3-21
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    File URL: https://ejms.iseg.ulisboa.pt/files/2001-A_wavelet_exploration_of_the_BVL_index.pdf
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    More about this item

    Keywords

    Wavelets; Lisbon stock exchange.;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets

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