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Description, modelling and forecasting of data with optimal wavelets

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  • Oriol Pont
  • Antonio Turiel
  • Conrad Perez-Vicente

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  • Oriol Pont & Antonio Turiel & Conrad Perez-Vicente, 2009. "Description, modelling and forecasting of data with optimal wavelets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(1), pages 39-54, June.
    • Handle: RePEc:spr:jeicoo:v:4:y:2009:i:1:p:39-54
    DOI: 10.1007/s11403-009-0046-x
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    References listed on IDEAS

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    1. Turiel, Antonio & Pérez-Vicente, Conrad J., 2003. "Multifractal geometry in stock market time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 629-649.
    2. Calvet, Laurent & Fisher, Adlai, 2001. "Forecasting multifractal volatility," Journal of Econometrics, Elsevier, vol. 105(1), pages 27-58, November.
    3. Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2004. "Multiple time scales in volatility and leverage correlations: a stochastic volatility model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(1), pages 27-50.
    4. J-F. Muzy & D. Sornette & J. delour & A. Arneodo, 2001. "Multifractal returns and hierarchical portfolio theory," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 131-148.
    5. Turiel, Antonio & Pérez-Vicente, Conrad J., 2005. "Role of multifractal sources in the analysis of stock market time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(2), pages 475-496.
    Full references (including those not matched with items on IDEAS)

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